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Interest rate expectations and macroeconomic shocks affecting the yield curve


  • 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.

Suggested Citation

  • Zoltán Reppa, 2008. "Interest rate expectations and macroeconomic shocks affecting the yield curve," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 3(3), pages 26-32, December.
  • Handle: RePEc:mnb:bullet:v:3:y:2008:i:3:p:26-32

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    References listed on IDEAS

    1. Seitz, Franz & Fischer, Björn & Köhler, Petra, 2004. "The demand for euro area currencies: past, present and future," Working Paper Series 330, European Central Bank.
    2. Peter Mooslechner & Helmut Stix & Karin Wagner, 2006. "How Are Payments Made in Austria?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 111-134.
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    More about this item


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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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