Research Detail
| 2023/09/28 / 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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General information
| Author | Erste Group Research |
| Date | 2023/09/28 |
| Language |  |
| Product name | CEE Economies Special Report |
| Topic in focus | FX, Macro/ Fixed income |
| Economy in focus | CEE, Czech Republic, Hungary, Poland, Romania |
| Currency in focus | Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu |
| Sector in focus | - |
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