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Interest rate expectations and macroeconomic shocks affecting the yield curve


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  • Zoltán Reppa

    (Magyar Nemzeti Bank (central bank of Hungary))


This study briefly presents the tools the Magyar Nemzeti Bank uses to estimate and interpret the yield curve, and to analyse the underlying reasons of yield changes. The first part of the study compares the yields of government securities and those of interbank and interest rate swap markets, and examines the reasons behind their differences. The second part sums up the dynamic model that is used to describe the interaction between the yield curve and the macroeconomy. This model enables us to examine the different macroeconomic shocks which impact the development of the yield curve; from a central bank perspective it is particularly important to gauge the impact of monetary policy shocks and monetary policy measures on longterm yields.

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Bibliographic Info

Article provided by Magyar Nemzeti Bank (the central bank of Hungary) in its journal MNB Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 3 (December)
Pages: 26-32

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Handle: RePEc:mnb:bullet:v:3:y:2008:i:3:p:26-32

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Keywords: interest rate expectation; macroeconomic shock; yield curve; dynamic model; monetary policy shock.;

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