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Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Statistics in Transition new series (SiTns) [ISSN:] 2450-0291 [Volume:] 23 [Issue:] 1 [Publisher:] Sciendo [Place:] Warsaw [Year:] 2022 [Pages:] 153-171
Verlag: 
Sciendo, Warsaw
Zusammenfassung: 
This paper provides a comparative evaluation of the behaviour of long-term sovereign yieldsin Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model de-veloped by Adrian, Crump and Moench (2013) is used as an empirical framework for thedecomposition of the bond yields into term premium and risk-neutral components. We docu-ment a substantial compression in term premia which started in Central European economiesaround 2013 and played a decisive role in the changes that occurred in 10-year sovereignyields. This pattern, however, was more prevalent in Czechia and Poland than in Hun-gary. We show that long-term rates in all three economies remained higher than in Ger-many due to relatively large risk-neutral components. Nevertheless, cross-country corre-lations became increasingly dependent on term premium dynamics, both among CentralEuropean economies and between each of them and Germany. These results are robust tobias-correction in the baseline models and interpreted in the light of the general interest ratesdecline in the global economy. Potential policy implications are also discussed.
Schlagwörter: 
long-term interest rates
affine term structure model
term premium
risk-neutralrates
Central Europe
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