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There is ample empirical evidence in the literature for the positive effect of central bank transparency on the economy. The main channel is that transparency reduces the uncertainty regarding future monetary policy and thereby it helps agents to make better investment, and saving decisions. In...
Persistent link: https://www.econbiz.de/10015233112
MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...
Persistent link: https://www.econbiz.de/10011481582
In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...
Persistent link: https://www.econbiz.de/10005562379
In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...
Persistent link: https://www.econbiz.de/10005146790
The subject of our study is market liquidity, which is an important element of the functioning of financial markets. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank. On the one hand, of all market segments an...
Persistent link: https://www.econbiz.de/10005357929
Our article analyses the behaviour of non-resident participants on domestic financial markets, which are important from the point of view of monetary policy. Due to the determining role played by foreign investors, understanding their behaviour is essential for understanding the main functioning...
Persistent link: https://www.econbiz.de/10005357937
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...
Persistent link: https://www.econbiz.de/10009321189
In our paper we present the most important characteristics of the forint interest rate swap market, as well as examine the determinants and the information content of the forint interest rate swap spreads. The turnover of the forint interest rate swap market has grown dynamically in recent...
Persistent link: https://www.econbiz.de/10010322396