Detail analýzy
| 28.09.2023 / Erste Group Research |
CEE Special Report | Explanatory and Predictive Yields Modelling CEE countries We looked at the 10-year government bond yields in Czechia, Hungary, Poland and Romania and offer predictive and explanatory modelling. For predictive purposes, several models were compared to common benchmark models using time series cross-validation. Regarding explanatory modelling, various specifications of ARDL (Autoregressive Distributed Lag) models were estimated. Model Implied yield development suggests a decline of long-term yields that is in line with Erste Group forecasts. Czechia stands out driven by the strongest expected disinflation compared to peers (Erste Group forecast). In case of Romania the underlying assumption is no negative rating or outlook change. Model controls for the war period and includes German breakeven bunds development. |
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Základní informace
| Autor | Erste Group Research |
| Datum | 28.09.2023 |
| Jazyk |  |
| Název produktu | CEE Economies Special Report |
| Hlavní téma | Makro/Úrokové sazby, Směnné kurzy/FX |
| Zaostřeno na ekonomiku | CEE, Česká republika, Maďarsko, Polsko, Rumunsko |
| Zaměřeno na měnu | Česká koruna, Maďarský forint, Polský zlotý, Rumunské leu |
| Zaměřeno na sektor | - |
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