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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

AuthorErste Group Research
Product nameCEE Economies Special Report
Topic in focusFX, Macro/ Fixed income
Economy in focusCEE, Czech Republic, Hungary, Poland, Romania
Currency in focusCzech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu
Sector in focus-


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