Title Yield curve dynamics and spillovers in Central and Eastern European countries / prepared by Alexander W. Hoffmaister, Jorge Roldós, and Anita Tuladhar

Published [Washington, D.C.] : International Monetary Fund, ©2010

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Description 1 online resource (59 pages) : color illustrations Series IMF working paper, 2227-8885 ; WP/10/51 IMF working paper ; WP/10/51. Summary This 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 Bibliography Includes bibliographical references (pages 58-59) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL English Print version record digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL Subject Interest rates -- Europe, Central -- Econometric models Interest rates -- Europe, Eastern -- Econometric models Stocks -- Prices -- Europe, Central -- Econometric models Stocks -- Prices -- Europe, Eastern -- Econometric models Economic policy Interest rates -- Econometric models SUBJECT Europe, Central -- Economic policy. http://id.loc.gov/authorities/subjects/sh2005008558 Europe, Eastern -- Economic policy. http://id.loc.gov/authorities/subjects/sh91005697 Subject Central Europe Eastern Europe Form Electronic book Author Roldós, Jorge E., 1958- author. Tuladhar, Anita, author. International Monetary Fund. European Department, issuing body. ISBN 1283563118 9781283563116 9781452717760 1452717761 1451989091 9781451989090 1462321445 9781462321445 9786613875563 6613875562 9781451963328 1451963327 ISSN 2227-8885

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