Arbeitspapier

A joint macroeconomic-yield curve model for Hungary

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that follow a VAR(1) process. The structural macroeconomic shocks are identified by sign restrictions. According to the model, more than sixty percent of the variation of the yield curve factors can be explained by macro shocks. In particular, the monetary policy shock is the most important determinant of the level factor, while the slope factor is mainly driven by risk premium and demand shocks. As for the direction of the responses, monetary policy and supply shocks decrease long forward rates, while premium and demand shocks increase short forward rates. The effect of the premium and monetary policy shocks is strongest in the period when the shock occurs, while for the demand and supply shocks the responses reach their peak only after some delay.

Sprache
Englisch

Erschienen in
Series: MNB Working Papers ; No. 2009/1

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
Yield curve
Nelson-Siegel
factor models
state space models
structural identification
Zinsstruktur
Zinsstruktur
Schock
Dynamisches Modell
Theorie
Schätzung
Ungarn

Ereignis
Geistige Schöpfung
(wer)
Reppa, Zoltán
Ereignis
Veröffentlichung
(wer)
Magyar Nemzeti Bank
(wo)
Budapest
(wann)
2009

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Reppa, Zoltán
  • Magyar Nemzeti Bank

Entstanden

  • 2009

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