Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
AbstractThis paper applies the models used to study yield curve dynamics and spillovers in the U.S. and other countries to Central and Eastern European countries (CEE countries). Using the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve, the paper finds that the two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little persistence in the CEE countries, owing to the strong convergence trends in these countries-which tend to re-anchor expectations faster. Increased convergence in policies and market integration over time are associated with a stronger correlation between the levels of the yield curves, while the curves slopes are more driven by idiosyncratic factors. Shifts in the euro yield curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger after 2004.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 10/51.
Date of creation: 01 Feb 2010
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-EEC-2010-03-28 (European Economics)
- NEP-IFN-2010-03-28 (International Finance)
- NEP-TRA-2010-03-28 (Transition Economics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Boril Šopov & Jakub Seidler, 2010.
"Yield Curve Dynamics: Regional Common Factor Model,"
Working Papers IES
2010/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2010.
- Boril Šopov & Jakub Seidler, 2011. "Yield Curve Dynamics - Regional Common Factor Model," Prague Economic Papers, University of Economics, Prague, vol. 2011(2), pages 140-156.
- Afonso, António & Martins, Manuel M.F., 2010.
"Level, slope, curvature of the sovereign yield curve, and fiscal behaviour,"
Working Paper Series
1276, European Central Bank.
- Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
- António Afonso & Manuel M. F. Martins, 2010. "Level, Slope, Curvature of Sovereign Yield Curve and Fiscal Behaviour," Working Papers Department of Economics 2010/23, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- Nathan Porter & Nuno Cassola, 2011. "Understanding Chinese Bond Yields and their Role in Monetary Policy," IMF Working Papers 11/225, International Monetary Fund.
- International Monetary Fund, 2012. "Macrofinance Model of the Czech Economy," IMF Working Papers 12/78, International Monetary Fund.
- Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.