The implementation of unconventional (nonstandard) monetary policy instruments by the leading central banks at the wake of the financial and economic crisis was the most significant shift in the practice of central banking in the recent years. Evaluation of their effects is not feasible without...

This paper provides a comparative evaluation of the behaviour of long-term sovereign yieldsin Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model de-veloped by Adrian, Crump and Moench (2013) is used as an empirical framework for thedecomposition of the bond yields into...

In this paper, we propose a novel approach to classifying inflation-targeting (IT) economies based on fractionally integrated processes. Motivated by the rising prevalence and diversity of IT strategies, we leverage variation in the persistence of inflation rate series to identify four de facto...

This paper provides a comparative evaluation of the behaviour of long-term sovereign yieldsin Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model de-veloped by Adrian, Crump and Moench (2013) is used as an empirical framework for thedecomposition of the bond yields into...

This paper investigates cross-border flights to safety (FTS) in sovereign bond markets from the perspective of emerging market economies (EMEs). Accurate identification of such events provides a detailed picture of sharp changes in prices of international assets and potential sources of EMEs'...

This paper examines the uncovered interest parity puzzle in Central and Eastern European countries. Apart from investigating baseline UIP regressions, we check for structural breaks in this relationship, scrutinize deviations from the UIP, and employ different estimation methods and models...

This paper examines the uncovered interest parity (or forward premium) puzzle in four Central and Eastern European countries -- Czechia, Hungary, Poland, and Romania -- as well as their aggregates from 1999 to 2019. Because the interest parity is a foundation of open-macroeconomy analyses, with...