## 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](https://www.imf.org/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655/bundle-manifest.json)

## 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

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### 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

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## Content in this bundle

- **Appendix I — _wp1051**
  - [Appendix I — _wp1051 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2010/_wp1051.pdf.md){rel="alternate" type="text/markdown"}
  - [Appendix I — _wp1051 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2010/_wp1051.pdf){rel="external" type="application/pdf"}

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/yield-curve-dynamics-and-spillovers-in-central-and-eastern-european-countries-23655_