Nowadays, the examination of bond markets is becoming more prominent as there have been significant changes in the financial market and economic policy processes due to the diverse economic shocks. The room for manoeuvre available for monetary policy is no longer a function of base rates, but rather of the growth of central bank balance sheetswhich can also have side-effects on bond yield progresses. Also, QE is only the privilege of large central banks, if smaller central banks use these programs the yield premium will be elevated. Six European small open economies (Czechia, Denmark, Hungary, Poland, Switzerland, Sweden) outside the Eurozone were investigated on quarterly basis between 2007 and 2020 with Autoregressive Distributed Lag (ARDL) cointegration technique. The aim of our research was to identify the effects of the recent economic shocks -the economic crisis of 2008, the subsequent European sovereign debt crisis and the current corona virus epidemic -on the evolution of international bond yield premia time series in the light of monetary policy, macro variables and financial markets. The results were typically in line with expectations, except that no significant bond market impact of portfolio capital flow could be measured on the sample. The main outcome proved that the unconventional monetary policy increased yield premiums in these analysed countries, meaning that QE is not for small and open economies.

AbstractThe transmission mechanism has been dominated by direct monetary measures since the crisis of 2008. While the indirect impacts of the unconventional monetary instruments have not been fully explored yet. Monetary policy and funding conditions determine pricing sentiments for bond, stock and currency markets, represented by the volatilities of their main indicators: stock market indices, exchange rates, and yield premia. Our theoretical model takes spillover effects into account when it determines the variables which are responsible for volatility: the activities of international financial institutions (like the ESM or the IMF) are represented by dummy variables, while the limited autonomy in the shadow of the ECB is captured through gravity-like approaches. Six EU member states outside the Eurozone and Switzerland were analysed between 2007 and 2019 with random effect panel regression models to identify the differences in the impact of spillover effects on capital market volatilities. The results obtained are considered to be useful in mapping the potential effects of continuing monetary easing in the near future.

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This paper analyses the structural changes of the underlying stock and currency markets as well as the industrial productions by using a minimum spanning tree graph on a Central and East European sample. The aim is to point out the similarities and differences of the COVID-19 pandemic compared to previous recessions, namely the Dot-com crisis in the early 2000s and the Subprime crisis around 2008. Focusing on the incidence, closeness, and betweenness properties of the graph, we are looking for the emergence of a shock-propagating hub. We identify such a hub during the Subprime crisis but not during the COVID-19 pandemic, which points to the higher efficiency of the economic policy to absorb the worst effects of the crisis.

A központi bankok nemcsak hitelezőként, hanem végső esetben piaci árjegyzőként is pozícionálják magukat. A tanulmány a mérlegszerkezeti mutatók érvényesítésére összpontosítva mutatja be, hogy az EKB (Európai Központi Bank) preferenciája az értékpapírpiac közvetlen élénkítésének irányába mozdul el, és ez rezsimváltó hatással van a tőkepiaci eszközök árfolyamára. A szerzők figyelme elsősorban az államkötvénypiac hosszú távú kamatlábaira irányul, mivel erre egyaránt meghatározóan hat a monetáris transzmissziós mechanizmus hagyományos kamatcsatornája, valamint a nemkonvencionális monetáris politika. A Taylor-szabály egy kibővített változatát, a Krippner- [2016] féle árnyékkamatlábat – Markov-féle rezsimváltó modellek kalibrálásával – használják kontrollváltozóként az eredmények validálására, miközben bevezetett mérlegmutatóik teljesítménye jobb a rezsimváltások esetén. Vizsgálatuk eredményei relevánsak lehetnek a jelenleg is érvényben levő monetáris lazítások elemzése során.