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...

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...

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...

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...