Short-Rate Expectations and Term Premia: Experiences from Hungary and Other Emerging Market Economies

12 Pages Posted: 7 Oct 2014

See all articles by Dániel Horváth

Dániel Horváth

Magyar Nemzeti Bank

Péter Kálmán

Magyar Nemzeti Bank

Zalan Kocsis

Magyar Nemzeti Bank

Imre Ligeti

Magyar Nemzeti Bank

Date Written: August 2014

Abstract

This study focuses on the elements of short-dated forward yields in Hungary and other emerging market economies – short-rate expectations and the term premium – and the influences on their behaviour. The rate expectations are proxied by median values of analyst surveys. Principal components analysis shows that, during the sample period 2009–13, rate expectations and term premia in emerging market economies co-moved closely with the corresponding elements of US yields. The term premium appears to have been driven by global news events, and rate expectations less so. As for Hungary, the yield elements periodically followed the dynamics of factors in emerging market economies generally, but country-specific effects seem to have been important as well.

Full publication: The Transmission of Unconventional Monetary Policy to the Emerging Markets

Keywords: Emerging markets, interest rate expectations, principal components, surveys, term premia

JEL Classification: E43, E58, G15

Suggested Citation

Horvath, Daniel and Kalman, Peter and Kocsis, Zalan and Ligeti, Imre, Short-Rate Expectations and Term Premia: Experiences from Hungary and Other Emerging Market Economies (August 2014). BIS Paper No. 78l, Available at SSRN: https://ssrn.com/abstract=2499785

Daniel Horvath (Contact Author)

Magyar Nemzeti Bank

Szabadsag ter 8-9
Budapest, H-1850
Hungary

Peter Kalman

Magyar Nemzeti Bank

Szabadsag ter 8-9
Budapest, H-1850
Hungary

Zalan Kocsis

Magyar Nemzeti Bank ( email )

Szabadsag ter 8-9
Budapest, H-1850
Hungary

Imre Ligeti

Magyar Nemzeti Bank

Szabadsag ter 8-9
Budapest, H-1850
Hungary

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