The basic purpose of this study is to didactically demonstrate the factors shaping the currency swap stock of domestic banks prior to the crisis and to provide a descriptive analysis of how the structure and the functioning of the market changed during the crisis. The main conclusions of the...

The subject of our study is the trading infrastructure of government securities markets, which has undergone fundamental changes driven by the appearance of non-exchange electronic platforms and the rapid rise of their share in the trading volume of developed markets. The summary of the relevant...

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange rate uncertainty. The aim of our study is to investigate the limits of this statistic. We present some key factors that may deviate the value of implied volatility from the...

In our paper we present how the Hungarian credit default swap (CDS) market functions, and indicate its position in the global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary's credit risk, and to determine the role of the Hungarian...

We have received a number of queries recently from market researchers concerning our methods in order to determine the underlying wage process, with particular regard to the correction of whitening. The whitening estimation methods we have developed have been described in outline in the boxed...

This paper investigates the main individual driving forces of Hungarian household credit risk and measures the shockabsorbing capacity of the banking system in relation to adverse macroeconomic events. The analysis relies on survey evidence gathered by the Magyar Nemzeti Bank (MNB) in January...

Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the market for Hungarian forint, using the standard...

This paper examines the interaction between minimum wage legislation and tax evasion by employed labor. I develop a model in which firms and workers may agree to report less than the true amount of earnings to the fiscalauthorities. I show that introducing a minimum wage creates a spike in the...

This paper proposes a simple and transparent methodology for decomposing changes in the aggregate labour force participation rate over time into changes in the labour force participation behaviour of different population groups and changes in each group's population share. Unlike traditional...

This paper attempts to aggregate and summarise fresh results concerning the monetary transmission mechanism in Hungary. Within a research project at the MNB nine studies have been published investigating the channels through which Hungarian monetary policy affects the economy. We create a...