Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
IMF Working Papers, February 1, 2010
Source details
- Canonical URL
- Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
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Bibliographic details
- Authors: Willy A Hoffmaister, Jorge Roldos, Anita Tuladhar
- Published: February 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451963328.001
Overview and methodology
- Paper title: "Yield Curve Dynamics and Spillovers in Central and Eastern European Countries"
- Authors: Willy A Hoffmaister, Jorge Roldos, Anita Tuladhar
- Date: February 1, 2010
- Methodology: Uses the Diebold, Rudebusch, and Aruoba (2006) dynamic version of the Nelson-Siegel representation of the yield curve to analyze yield curve dynamics and spillovers in Central and Eastern European countries (CEE countries).
Key findings
- The two-way relationship between macroeconomic and financial variables in the CEE countries is similar to the one in mature economies.
- 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.
- 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.
Subject areas and keywords
- Subject: Central bank policy rate, Inflation, Real effective exchange rates, Vector autoregression, Yield curve
- Keywords: interest rate, WP
Content in this bundle
- Appendix I — _wp1051