We investigate the determinants of sovereign CDS spreads on a sample of Eastern European data. A dynamic hierarchical factor model is used to aggregate information in indicators of economic fundamentals. CDS spreads are regressed on forecasts of factors. We find that domestic fundamentals...

The purpose of this paper is to compare the two auction techniques (discriminatory and uniform-price auctions) most commonly used for the sale of securities. Literature tends to analyze methods from the aspect of the expected revenue from the auction. Theoretical models arrive at different...

Economic and financial integration has reshaped the monetary policy frameworks and transmission channels in the emerging market economies (EMEs) over the past two decades. Economic and financial linkages have become stronger, resulting in greater synchronization of business cycles across...

We propose a novel method to extract information on macro fundamentals based on regular expressions and compare its performance vis-a-vis two popular alternatives in the current finance literature based on predefined dictionaries and supervised learning techniques. We create news indices about...

This paper studies the global, regional, and country-specific components of four key financial market indicators: sovereign CDS spreads, equity indices, exchange rates, and EMBI Global bond spreads. In all four markets, the results support the findings of the literature of a significant global...

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...

The purpose of this paper is to compare the two auction techniques (discriminatory and uniform-price auctions) most commonly used for the sale of securities. Literature tends to analyze methods from the aspect of the expected revenue from the auction. Theoretical models arrive at different...

In this paper, I examine the Hungarian government bond market’s liquidity developments in recent years. First, I explain the importance of market liquidity for central bankers. I identify the most significant economic shocks and their impacts on the market by using various market indicators....