Chart-pack on recent economic and financial market developments

Transcription

1 The central bank of Hungary Chart-pack on recent economic and financial market developments 7 September 1 As of the 3th of June, the Magyar Nemzeti Bank (the central bank of Hungary) publishes a comprehensive chart-pack about the latest information in financial markets and the macroeconomy. Our aim is to provide analysts and the public with a frequently updated, easy-to-use, clear-cut data set, in order to promote better knowledge and understanding of the current economic and financial market situation. The updated chart-pack is published on the day of each rate-setting meeting at pm. Questions and comments are welcome, and should be addressed to info@mnb.hu. The data sources of this document, in whole or in part, do not fall within the scope of Act XLVI of 1993 on statistics, therefore the data contained in the tables and charts are not to be considered as official statistical data. Magyar Nemzeti Bank excludes all liability for any damage caused by the usage of the herein published non-official statistical data.

2 Interest Rates and Exchange Rates September 1 1. EUR/HUF exchange rate HUF HUF Jan. 7 1 Feb. 7 1 June Dec. 1 Jan. Feb June 11 Aug. 3 1 Dec. Jan June 13 Aug. 1 Dec. Feb June Notes: reverse scale, daily data. EUR/HUF CHF/HUF USD/HUF. EUR/HUF exchange rate (last 1 month) HUF 7 HUF Aug. 1 Aug. 7 Aug. 31 Aug EUR/HUF (left-hand scale) CHF/HUF USD/HUF Notes: reverse scale, hourly observations. 1

3 Aug. 1 Aug. 7 Aug. 31 Aug Jan. 3 Jan. 13 Feb June 9 3 Aug Dec. Dec. 1 Jan. 9 Feb. Feb June 1 1 Aug Dec. Jan. 1 7 Jan. 17 Feb June 3 June 1 Aug. Aug. 1 Interest Rates and Exchange Rates September 1 3. Emerging markets exchange rates EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: January = ; cumulative change. Positive values mean appreciation.. Emerging markets exchange rates (last 1 month) EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: cumulative change, -minute frequency. Positive values mean appreciation.

4 Interest Rates and Exchange Rates September 1. HUF vis-á-vis emerging market exchange rates Jan. 3 Jan. 13 Feb June 9 3 Aug Dec. Dec. 1 Jan. 9 Feb. Feb June 1 1 Aug Dec. Jan. 1 7 Jan. 17 Feb June 3 June 1 Aug. Aug. 1 CZK PLN RON ZAR TRY Notes: January = ; cumulative change. Positive values mean HUF appreciation.. HUF vis-á-vis emerging market exchange rates (last 1 month) Aug. 1 Aug. 7 Aug. 31 Aug CZK PLN RON ZAR TRY Notes: cumulative change, -minute frequency. Positive values mean HUF appreciation. 3

5 Jan. 13 Feb. 7 1 June Dec. 1 Jan. 9 Feb Aug. 17 Dec. Jan June 1 Aug. Jan. 9 Feb June 7 Aug Dec. 11 Jan. 1 Feb June 3 Aug. Interest Rates and Exchange Rates September 1 7. Implied and historical volatilities of the forint-euro exchange rate week (implied) 1 month (implied) backward-looking (GARCH) volatility (right-hand scale) Source: Bloomberg. Notes: GARCH is weighted volatility calculated using historical data; implied volatility (based on foreign exchange option quotes) can be interpreted as an indicator of risk perceived by the market.. Risk reversal and skewness of exchange rate expectations risk reversal skewness (right-hand scale) Source: Bloomberg. Notes: based on option quotes for 1-month D risk reversal; skewness=rr/volatility*1. Risk reversal can be regarded as a "nominal" indicator for the skewness of the distribution of exchange rate expectations, while skewness eliminates the effect of changes in volatility.

6 Jan. 9 Feb. 3 3 June 1 1 Aug Dec. Jan. 1 3 Feb June 1 1 Aug. 1 Jan. 3 Jan. 7 Feb. 7 3 June 1 1 Aug Dec. 1 Jan Feb June 3 7 Aug Dec. 1 Jan Feb June 1 9 Aug. 3 Interest Rates and Exchange Rates September 1 9. Implied HUF yields based on FX-swap market trades and quotes Source: MNB, Thomson Reuters. Interest rate corridor month O/N Notes: implied forint yields based on USDHUF FX-swap trades in the case of O/N maturity, and based on USDHUF FX-swap quotes provided by Thomson Reuters in the cases of 3-month and -month maturities. 1. Difference between interbank yields and implied yields based on FX-swap markets months months Source: MNB, Thomson Reuters. Notes: implied forint yields based on USDHUF FX-swap quotes provided by Thomson Reuters; interbank yields are estimated via spline method based on BUBOR, FRA, IRS data.

7 Interest Rates and Exchange Rates September Implied 3 month forward interest rate curves (based on government securities yields) 1. Implied 3 month forward interest rate curve (based on interbank yields),,,, 7, 7, 7, 7, 7, 7, 7, 7,,,,,,,,,,,,,, , years later, , years later August 1 1 September 1 3 September 1 August 1 1 September 1 3 September 1 Source: MNB, ÁKK. Notes: estimated by the MNB using the Svensson-technique. Source: MNB, Thomson Reuters. Notes: estimated by the MNB from interbank money market (FRA) and interest rate swap quotes using the spline technique. 13. Spread between 3-month forward yields in EUR and HUF EUR ( 1) HUF ( 1) EUR (3 Aug. 1) HUF (3 Aug. 1) Forward differential ( 1) Forward differential (3 Aug. 1) Source: ÁKK, ECB, MNB. estimated by the ECB using the Svensson-technique, based on AAA-rated euro area central government bonds év 1. The difference between the quoted rate of the 3 month FRA and the current base rate 7-1 month months 3 months August 1 17 September 1 September 1 Notes: based on FRA quotes provided by Tulett & Tokio Liberty on Reuters. Columns represent the difference between the quoted rate of the 3 month forward rate agreement starting from the given date and the base rate. 7 -

8 Jan. Jan. 11 Feb June 3 June 9 Aug. 9 Aug Dec. 7 Dec. 1 Jan. 9 Feb. Feb June June 1 Aug. Aug Dec. Dec. 11 Jan Jan. 1 Feb June Aug. Jan June 13 Dec. Feb Aug. 7 Jan June 13 Dec. Feb Aug. 7 Interest Rates and Exchange Rates September 1 1. Policy rate expectations derived from money market rates 1. Policy rate expectations derived from government bond yields 7, 7, 7, 7,,7,7,,,,,,,,,,,7,7,,,,,,,,,,,7,7,,,, August 1 1 September 1 3 September 1 August 1 1 September 1 3 September 1 Source: MNB, Thomson Reuters. Notes: estimated by the MNB from interbank interest rates using the spline-technique. Source: MNB, Thomson Reuters. Notes: estimated by the MNB using the Svensson-technique. 17. MNB base rate and money market rates O/N interbank week central bank deposit 3 month BUBOR 1x FRA O/N central bank deposit O/N central bank loan Source: MNB, ÁKK, Thomson Reuters. Notes: O/N interbank yield is the calculated average yield weighted by turnover data, FRA yield is the close mid-quote provided by Thomson Reuters. 7

9 Jan. 9 June Aug Dec. 9 Feb June 9 Jan. 9 June Aug Dec. 9 Feb June 9 Jan. 9 June Aug Dec. 9 Feb June 9 Jan. 9 June Aug Dec. 9 Feb June 9 Interest Rates and Exchange Rates September 1 1. Short-term interbank yields 19. Short-term government securities - interbank yield spreads 1, 1, 9, 9,,, 7, 7,,,,,, 1, 1, 9, 9,,, 7, 7,,,,,, basis point basis point month 1 year Source: MNB, Thomson Reuters. Notes: swap yields are estimated via spline method based on BUBOR, FRA, IRS data. 3 month 1 year Source: ÁKK, Thomson Reuters. Notes: the bond yields are estimated via Svensson-, swap yields via spline method.. Long-term interbank yields 1, 1, 9, 9,,, 7, 7,,,, 1, 1, 9, 9,,, 7, 7,,,, 1. Long-term government security - interbank yield spreads basis point basis point year 1 year Source: MNB, Thomson Reuters. Notes: swap yields are estimated via spline method based on FRA, IRS data. year 1 year Source: ÁKK, Thomson Reuters. Notes: the bond yields are estimated via Svensson-, swap yields via spline method.

10 Interest Rates and Exchange Rates September 1. Short-term yields of benchmark government securities 3. Long-term yields of benchmark government securities Jan. 9 Feb. 3 7 June 3 Aug Dec. 1 Jan. 1 Feb June Aug. 3 Jan. 9 Feb. 3 7 June 3 Aug Dec. 1 Jan. 1 Feb June Aug. 3 3M M 1M Source: ÁKK. Notes: daily reference yields provided by Government Debt Agency. 3Y Y 1Y 1Y Source: ÁKK. Notes: daily reference yields provided by Government Debt Agency.. Yields of benchmark government securities 7,7 7, 7, 7,,7,,,,7,,, 7,7 7, 7, 7,,7,,,,7,,, Aug 1. 3 Aug 1. 3 Sep 9. Sep 1. 1 Sep 1. Sep 1. 3 Sep 17. Source: Thomson Reuters, FTSE. Notes: intraday 1-minute frequency data. 3M M 1Y 3Y Y 1Y 1Y 9

11 Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Financial Markets September 1. Spot turnover on the forint currency market. Swap turnover on the forint currency market HUF bn 3 1 HUF bn 3 1 HUF bn HUF bn day MA -day MA -day MA -day MA Notes: forint against foreign exchange deals by domestic banks; moving averages calculated based on deal date data. Notes: forint against foreign exchange deals by domestic banks; moving averages calculated based on deal date data. 7. Forward turnover on the forint currency market. Option turnover on the forint currency market HUF bn HUF bn HUF bn 3 1 HUF bn 3 1 -day MA -day MA -day MA -day MA Notes: forint against foreign exchange deals by domestic banks; moving averages calculated based on deal date data. Notes: forint against foreign exchange deals by domestic banks; moving averages calculated based on deal date data. 1

12 7 Jan. 9 1 Jan. Feb. 1 Feb June June Aug. 19 Aug Dec. 3 Dec. Jan. 1 Jan. 3 Feb. 17 Feb June 3 June 7 1 Aug. 1 Aug. 1 1 Jan. 9 3 Feb. 3 3 June 31 9 Dec. Jan. 1 Feb June Aug. Jan. 9 Feb. 7 June 19 Aug Dec. 13 Jan. 1 1 Feb June Aug. 31 Aug. Financial Markets September 1 9. Net FRA position of non-residents and FRA-base rate spreads 3. Net Forint forward stock of residents and the exchange rate HUF bn HUF bn EUR/HUF Base rate - 1x FRA yield differential Base rate - 3x FRA yield differential net FRA position of foreigners (right-hand scale) Source: MNB, Thomson Reuters. Notes: based on FRA quotes provided by Tulett & Tokio Liberty on Reuters. net forward stock of residents exchange rate (right-hand scale, inverted scale) Notes: Based on the daily fx-reports of credit institutions. Due to the nature of the banks' daily report on FX transactions, the components of the statistic do not close to zero. As a result, the information contained in the data series is relevant mainly to evaluate the direction of short-term fluctuations. The MNB does not hold responsibility for the accuracy of the data. Revisions due to reporting errors and non-standard transactions might lead to significant subsequent modifications of the data series. 31. Forint FX Swap stock of non-residents HUF billions HUF billions HUF/FX - max 1W HUF/FX - 1W-3M HUF/FX - 3M-1Y HUF/FX - min 1Y FX/HUF - max 1W FX/HUF - 1W-3M FX/HUF - 3M-1Y FX/HUF - min 1Y Notes: due to the nature of the banks' daily report on FX transactions, the components of the FX transactions statistic do not close to zero. As a result, the information contained in the data series on net forint purchase of non-resident investors - and its components - is relevant mainly to evaluate the direction of short-term fluctuations. An increase in the swap stock stands for swaps with a long forint spot leg. Based on the daily fx-reports of credit institutions.calculated from swap transactions between credit institutions and non-resident investors. The MNB does not hold responsibility for the accuracy of the data. Revisions due to reporting errors and non-standard transactions might lead to significant subsequent modifications of the data series. 11

13 Jan. 13 Feb June Aug Dec. 9 Jan June Jan Feb. 1 3 June 11 Aug. 3 Jan Feb. June Aug. 3 1 Dec. 1 Jan. 1 Feb June 1 Financial Markets September 1 3. Forint FX Swap stock of non-residents HUF billions HUF billions total net FX swap stock of foreigners cumulated HUF purchase of foreigners Notes: due to the nature of the banks' daily report on FX transactions, the components of the FX transactions statistic do not close to zero. As a result, the information contained in the data series on net forint purchase of non-resident investors - and its components - is relevant mainly to evaluate the direction of short-term fluctuations. An increase in the swap stock stands for swaps with a long forint spot leg. Based on the daily fx-reports of credit institutions.calculated from swap transactions between credit institutions and non-resident investors. The MNB does not hold responsibility for the accuracy of the data. Revisions due to reporting errors and non-standard transactions might lead to significant subsequent modifications of the data series. 33. Forint financial assets held by non-residents HUF billions HUF billions government securities central bank (two-week) bills equity Source: MNB, TeleDataCast. Notes: January = ; cumulative change. Equity data are not comprehensive, it contains data for large- and mid-cap stocks quoted on the Budapest Stock Exchange. 1

14 Financial Markets September 1 3. Government securities of non-residents by tenor HUF billions HUF billions Jan. 1 1 Jan. 9 Jan. 1 Feb. Feb June 3 June 7 1 Aug. 1 Aug. 1 total amount maturing until 31/1/11 maturing between 1/1/1 and 31/1/1 maturing after 1/1/1 auctions, redemptions Notes: 1 January 1 = ; cumulative change without central bank bills. 3. Government securities held by non-residents HUF billions HUF billions Jan. 9 Feb. June Aug. Dec. Jan. 1 Feb. June Aug. T-Bill/MNB-Bill redemption T-Bond redemption T-Bill/MNB-Bill auction T-Bond auction secondary market total Notes: monthly change. The last month contains information on available data. 13

15 Jan. 9 1 Feb. 1 June Aug Dec. 1 Jan June 13 Aug. Jan. 9 1 Feb. 1 June Aug Dec. 1 Jan June 13 Aug. Jan. Jan. 7 Dec. Feb. June Aug. Dec. Feb. 9 Jan. 1 Jan Jan. Jan. Feb. 1 Feb. Feb June 11 June 3 June 1 7 Aug. 1 Aug. 31 Aug. 1 Financial Markets September 1 3. Government securities held by non-residents and the proportion to the total amount outstanding. 37. Government securities held by non-residents and the proportion to the total amount outstanding HUF bn 3 HUF bn stock (right-hand scale) percentage of total amount outstanding stock (right-hand scale) percentage of total amount outstanding (left-hand scale) Notes: MNB calculations without central bank bills. Notes: MNB calculations without central bank bills. 3. The average time to maturity of residents' and nonresidents' government security portfolio year,,,,,, 3, year,,,,,, 3, 39. The relative average time to maturity of residents' and non-residents' government security portfolio month month total non-residents residents non-residents residents Notes: MNB calculations without T-Bills and central bank (two-week) bills. Notes: MNB calculations; without T-Bills and central bank (two week) bills. 1

16 Financial Markets September 1. The turnover and yield data of the Hungarian primary t-bill and t-bond issues HUF billions 3 month T-bill 1 month T-bill 3 year T-bond year T-bond 1 year T-bond , 7,, Announced (billion HUF) Total bid (billion HUF) Accepted (billion HUF) Max yield ( - rhs) Avg yield ( - rhs) Min yield ( - rhs) Source: ÁKK. Notes: the turnover and yield data of the Hungarian primary t-bill and t-bond issues. In case of floating rate bonds the yield data are not be plotted. HUF billions 1 1. Government securities issues, buybacks, redemptions HUF billions Jan Jan. 1 Jan. 31 Jan. 1 Feb. Feb June June 3 June Aug. 19 Aug. 9 Aug. 1 Bonds bought back Bonds matured Net T-bill issuance Bonds issued Net change Source: ÁKK. 1

17 Jan. 9 Jan. 19 Feb June 9 31 Aug. 1 1 Dec. 11 Jan. 1 Feb. Feb June 13 Aug. 7 Aug. Jan. 9 Feb. 3 June 1 3 Aug. 7 Dec. Jan. 1 Feb June Aug. 1 Feb June 3 3 Aug Dec. Jan. 1 Feb. 3 June 1 19 Aug. 17 Financial Markets September 1. Turnover on the forint unsecured interbank market 3. Turnover on the forint FRA market HUF bn HUF bn HUF bn HUF bn day moving averages -day moving averages -day moving averages -day moving averages Notes: deal dates, based on reporting by domestic banks; central moving averages. Notes: deal dates, based on reporting by domestic banks; central moving averages.. Turnover on the secondary market of government securities HUF billions HUF billions Source: KELER Notes: 1-day moving averages. less than 1 year 1 to 3 years 3 to years more than years 1

18 1 Jan June 9 Aug. 7 Dec. Feb. 11 June Aug. 3 Dec. Jan. 1 7 June 17 Aug. 1 7 Dec. 1 Feb International and Regional Environment September 1. ECB policy rate expectations 1, 1, 1, 1, 1, 1,,7,7,,,,,, 3 August 1 1 September 1 September 1 Source: ECB. Notes: estimated by the ECB using the Svensson-technique, based on AAA-rated euro area central government bonds.. Fed policy rate expectations 1, 1, 1, 1, 1, 1,,7,7,,,,,, 3 August 1 1 September 1 3 September 1 Notes: derived from Fed funds futures contracts. 17

19 Jan. 9 Feb June Dec. Jan. 1 Feb June 1 Aug. 1 Jan. 9 Feb June Dec. 1 Jan. 1 Feb. 1 1 June 1 19 Aug. 3 International and Regional Environment September 1 7. Policy rates of the ECB, Fed, Swiss National Bank and the 3-month money market interest rates. 3, 3,,,,, 1, 1, 1, 1,,,,, ECB EUR yield SNB CHF yield Fed funds target rate USD yield. 3 month interbank and treasury yield spreads euro dollar 1

20 1 Jan. 1 Feb. 17 June Dec. 13 Jan. 9 Feb June 11 Aug. 3 1 Dec. Jan June 13 Aug. 1 Jan. 9 Feb June Dec. 1 Jan. 1 Feb. 1 1 June 1 19 Aug. 3 International and Regional Environment September month LIBOR - OIS spreads EUR USD GBP. Long-term EUR and USD benchmark yields,,,,,, 3, 3, 3, 3,,,,, 1-year EUR 1-year USD Notes: based on benchmark yield data provided by Thomson Reuters. 19

21 1 Jan. 9 9 Jan. Feb June 1 13 Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb. 17 June 1 1 Aug. 9 1 Jan. 9 9 Jan. Feb June 1 13 Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb. 17 June 1 1 Aug. 9 International and Regional Environment September 1 1. Major currencies versus the dollar USD/EUR USD/GBP USD/CHF USD/JPY Notes: 1 January = ; cumulative change. Positive values indicate USD appreciation.. Commodity benchmarks USD/barrel; index 1 values USD/ounce Brent crude oil (USD/barrel) S&P GSCI agricultural and livestock index* S&P GSCI main index* Gold bullion (USD/troy ounce, right-hand scale) Notes: Brent crude oil and gold buillon: nominal values, *Standard&Poor's Goldman Sachs Commodity index: 1 January 9=1.

22 1 Jan. 9 Jan. Feb. 17 June 1 1 Aug. 9 7 Dec. 3 Dec. 7 Jan. 9 Feb June 1 11 Aug. 3 1 Dec. 9 Dec. Jan. 1 3 Feb June 13 1 Aug. 7 1 Jan. 9 Jan. Feb. 17 June 1 1 Aug. 9 7 Dec. 3 Dec. 7 Jan. 9 Feb June 1 11 Aug. 3 1 Dec. 9 Dec. Jan. 1 3 Feb June 13 1 Aug. 7 International and Regional Environment September 1 3. Developed market stock indices Notes: 1 January = ; cumulative change. DJ STOXX S&P FTSE 1 NIKKEI. Emerging market stock indices BUX (Hungary) PX (Czech Rep.) WIG (Poland) RTS (Russia) Shanghai Composite Notes: 1 January = ; cumulative change. 1

23 1 Jan. 9 9 Jan. Feb June 1 13 Aug. 1 Dec. 1 Jan. 1 9 Jan. Feb June 1 13 Aug. 1 1 Jan. 9 9 Jan. Feb June 1 13 Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb. 17 June 1 1 Aug. 9 International and Regional Environment September 1. Major risk aversion indicators Source: Thomson Reuters; JP Morgan. VIX index EUR/USD 1 month implied volatility EMBI Global (right-hand scale) Notes: increases indicate declining risk appetite or increasing risk aversion. VIX is the implied volatility of S&P index.. Key CDS composite indices itraxx Europe itraxx Europe HiVol CDX investment grade itraxx Crossover CDX high yield (right-hand scale) Notes: itraxx Europe index is composed of the most liquid 1 CDS referencing European investment grade names. itraxx HiVol is a subset of the main index consisting of the 3 most risky constituents. Crossover index comprises the most liquid sub-investment grade entities. CDX North American Investment Grade index consists of 1 names, CDX North American High Yield index comprises 1 names.

24 June 1 Aug Dec. 9 Feb June Jan. 1 Feb. 17 June 9 Aug. 9 June 1 June Aug. 1 Aug. Aug June 1 Aug Dec. 9 Feb June Jan. 1 Feb. 17 June 9 Aug. 9 June 1 June Aug. 1 Aug. Aug International and Regional Environment September 1 7. year sovereign CDS spreads in emerging markets. year sovereign CDS spreads in emerging markets Hungary Romania Hungary Romania Bulgaria Croatia Bulgaria Croatia CEEMEA SovX CEEMEA SovX Notes: CEEMEA is a composite index calculated from the 1 most liquid sovereign CDSspeads Notes: CEEMEA is a composite index calculated from the 1 most liquid sovereign CDS- in the CEEMEA region. speads in the CEEMEA region. 9. year sovereign CDS spreads in selected countries. year sovereign CDS spreads in selected countries Poland Czech Republic Poland Czech Republic Russia Turkey Russia Turkey Estonia Estonia 3

25 9 Jan. 9 Feb. 7 3 June 1 1 Dec. 1 Jan Feb. 3 3 June 1 Jan. 9 Feb. 3 1 June 13 Aug. 3 Dec. Jan International and Regional Environment September 1 1. Emerging market sovereign foreign currency bond spreads Hungary all emerging Latin America CEE Asia Notes: calculated from JP Morgan Euro EMBI data. The series are differences between euro denominated (liquid) foreign currency bond yields and euro zero coupon yields of the corresponding maturities.. Yields in euro calculated on CEBI indices Hungary Poland Czech Republic Source: DrKW. Notes: the chart shows the profit/loss with carry cost from the last date.

26 1 Jan Jan. Feb. Feb June 19 Aug Dec. 31 Dec. Jan. 1 1 Feb June 9 June 1 1 Aug. 3 1 Jan. 31 Jan June Aug Dec. Feb June 1 Jan Feb June Aug. 1 International and Regional Environment September 1 3. Policy rates and 3-month interbank deposit rates in CEE countries Hungary Poland Czech Republic Romania HUF interbank depo PLN interbank depo CZK interbank depo RON interbank depo Notes: interbank deposit rates based on Reuters quotes month interbank deposit rates in some CEE counties Estonia Lithuania Latvia Bulgaria Ukraine (right-hand scale) Notes: -day moving averages.

27 International and Regional Environment September 1. Spreads of -year Eastern European foreign currency bond yields over benchmarks. Spreads of Eastern European foreign currency bond yields over benchmarks Jan Feb June Dec. 1 Jan. 1 Feb Aug. Jan Feb June Dec. 1 Jan. 1 Feb Aug. Hungary (9/Jan./1) Poland (3/Feb./1) Czech Republic (3/June/1) Romania (//1) Notes: spreads of -year Eastern European foreign currency bond yields over the appropriate German benchmark yields. Croatia (1//1) Latvia (//1) Lithuania (/June/1) Ukraine (13//1 - right-hand scale) Notes: spreads of -year Eastern European foreign currency bond yields over the appropriate German benchmark yields. 7. Benchmark yield curves of Hungary, Poland, Greece and Germany m m 1y y 3y y y y 7y y 9y 1y 11y 1y 13y 1y 1y 1y 17y 1y 19y y 3y Hungary Sept 1 Poland Sept 1 Greece Sept 1 Germany Sept 1 Hungary 7 Aug 1 Poland 7 Aug 1 Greece 7 Aug 1 Germany 7 Aug

28 Jan. Feb June Dec. 1 Jan. 9 Feb. 1 1 June 1 19 Aug. 3 Dec. Jan. 1 1 Feb June Aug. Jan. 1 Feb. 1 June Aug Dec. 1 Jan. 9 1 Feb June 3 7 Aug Dec. 1 Jan Feb June 1 9 Aug. 3 International and Regional Environment September 1. Spreads over year euro spot zero coupon yields Notes: zero-coupon yields provided by Reuters. HUF CZK PLN 9. year implied spreads over euro rates in year's time HUF CZK PLN Notes: 3 day moving averages; based on swap rates provided by Reuters. 7

29 Liquidity Position of the Banking Sector September 1 7. Developments in central bank balance sheet HUF billions HUF billions Jan. 9 1 Jan. 1 Feb June 3 June 9 Aug. 9 Aug Dec. 7 Dec. 1 Jan. 1 Feb. Feb June June 1 Aug. Aug. 13 reserve balances net stock of O/N instruments central bank bill FX-swap instruments two-week loan six-month loan total HUF liquidity 71. Recourse to central bank instruments HUF billions HUF billions Aug. 1 3 Aug. Aug. 7 Aug. 9 Aug. 11 Aug. 13 Aug. 1 Aug. 17 Aug. 19 Aug. 1 Aug. 3 Aug. Aug. 7 Aug. 9 Aug. 31 Aug net stock of O/N instruments FX-swap instruments six-month loan two-week loan

30 Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan/ Sep Jan/3 Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/7 Sep Jan/ Sep Jan/9 Sep Jan/1 Inflation September 1 7. The CPI and the Core CPI 73. Developments in underlying inflation indicators Core Consumer Price Index Consumer Price Index Range of underlying inflation indicators Core inflation excluding indirect tax changes Source: HCSO, MNB Notes: seasonally adjusted year-on-year growth rates (HCSO adjustments); The time series of core inflation have changed due to the change in the calculation method. Source: HCSO, MNB. Notes: The range is constructed of the median, weighted median, trimmed mean and Edgeworth-index indicators. 7. Decomposition of the Consumer Price Index Weight 1-1 Jun-1 Jul-1 Aug-1 Consumer Price Index 1,,1,3, 3,7 thereof Unprocessed food, -9,3 -, 1, 13, Processed food 11, 1,, -,9 1, Manufactured goods,,3 1,7 -,3 -,3 Market services,,,3,,1 Non-regulated household energy 1,9 11,3 1, 1, 11,7 Alcohol, tobacco 9, 11,1 1,1,, Gasoline prices,7,9, 1, 13,9 Regulated prices 1,7, 9, 7,,3 Core Consumer Price Index 7, 3,9 3, 1,3 1, CPI without Tax Changes 1,,9 1,1 3,3 3, Source: HCSO, MNB decomposition Notes: annual growth rates (); The time series of industrial products, market services, regulated prices have changed because the method of the core inflation developed by the CSO and the NBH has broken down several items (like pharmaceutical products, the telephone, the other travels, the TV fee) from 9. 9

31 Jan Jan. 3 3 Feb. 1 June 1 3 Feb. 9 June 3 Jan Jan Jan Jan. 1 7 Jan Dec. Jan. 1 June 1 3 Dec. Feb. 9 1 Aug. 7 Jan Dec June 7 3 Inflation September 1 7. The HUF/EUR exchange rate and the analysts' expectations HUF/EUR HUF/EUR MNB technical assumption in the latest QRI Mean of analysts' expectations Source: Thomson Reuters, MNB. Notes: inverted scale, projected band with a central exchange rate taken to be fixed at 7,1 from October 1 1, and at,3 from June 3. The thin continuous line represents analysts' average exchange rate expectations according to the most recent Reuters CEE FX Poll. The bold line stands for the MNB's technical exchange rate assumption underlying the the latest inflation forecast published in the most recent Quarterly Report on Inflation. 7. The Brent crude oil price and market expectations USD/barrel USD/barrel Source: Bloomberg, Consensus Economics. Historical Analysts' expectations* Futures** MNB technical assumption*** Notes: Consensus Economics Forecast (latest survey); the original forecasts refer to the WTI crude oil, and were corrected by the average difference between WTI and Brent to derive figures for the Brent crude oil; ** Based on the latest available futures prices ***Technical assumption underlying the MNB's inflation forecast published in the most recent Quarterly Report on Inflation. 3

32 7 Q1 Q1 9 Q1 1 Q1 11 Q1 1 Q1 Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Inflation September Monetary conditions year real interest rate* (left-hand scale) CPI-based real exchange rate** (right-hand scale) Source: Reuters, KSH, Eurostat, ÁKK, MNB. Notes: * calculated from the 1-year zero-coupon yield and analysts' corresponding 1-year forward inflation expectations derived from the Reuters-poll by the MNB. ** Monthly depreciation of the forint relative to the euro (until April 1 the pre-announced rate of devaluation), adjusted by the corresponding Hungarian CPI and the EMU's HICP (1 January 1997 = 1; increase represents appreciation). 7. Fan chart of the inflation forecast Source: MNB, HCSO. Notes: the fan chart represents the uncertainty around the central projection. Overall, the coloured area represents a 9 per cent probability. The central area containing the central projection for the consumer price index illustrated by the dotted line (as the mode of distribution) refers to 3 per cent of the probability. The horizontal line shows the value of the announced inflation target. 31

33 Jan. 9 Feb. June Aug. Dec. Jan. 1 Feb. June Aug. June Aug. Dec. Jan. 9 Feb. June Aug. Dec. Jan. 1 Feb. June Aug. Inflation September Analysts' expectations for the inflation rate in 1,,,,,, 3, 3,,, 1, 1,,,,,,, 3, 3,,, 1, 1, Notes: the thin continuous line represents the trimmed mean calculated by cutting off the lowest and the highest value. The flat line indicates the medium-term inflation target.. Analysts' expectations for the inflation rate in 11,,,, 3, 3,,, 1, 1,,,,, 3, 3,,, 1, 1, Notes: the thin continuous line represents the trimmed mean calculated by cutting off the lowest and the highest value. The flat line indicates the medium-term inflation target. 3

34 Inflation September 1 1. The latest central projection of the MNB compared to other prognoses Consumer Price Index (annual average growth rate, ) MNB (August 1) Consensus Economics ( 1) European Commission ( 1),, - IMF (April 1),3,, OECD ( 1),,3 - Reuters survey (September 1) GDP (annual growth rate, ) MNB (August 1) Consensus Economics ( 1) 1 (-.) European Commission ( 1),, - IMF (April 1) -, 3,, OECD ( 1) 1, 3,1 - Reuters survey (September 1) Current account balance (percent of GDP) MNB (August 1) European Commission ( 1) -, -,3 - IMF (April 1) -, -1. -,1 OECD ( 1), -, - Budget deficit (ESA-9 method, percent of GDP) MNB (August 1) Consensus Economics ( 1) European Commission ( 1),1, - IMF (March 1) 3,, - OECD ( 1),,3 - Reuters survey (September 1) Forecasts on the size of Hungary's export markets (annual growth rate, ) MNB (August 1)..3. European Commission ( 1) 3,,1 - IMF (April 1) 3, 3, - OECD ( 1) 3,,7,9 - Forecasts on the GDP growth rate of Hungary's trade partners (annual growth rate, ) MNB (August 1) European Commission ( 1) 3 1,, - IMF ( 1) 3 1,,1, OECD ( 1) 3, 1,9, - The projections of the MNB are 'conditional', which means that they cannot always be directly compared with the projections of other institutions. 1 In addition to the averages of polled analysts responses (the values in the middle), the smallest and largest values are also indicated for the Reuters and Consensus Economics surveys in order to illustrate distribution. Data not adjusted for calendar-day variations. 3 Values calculated by MNB; the projections of the named institutions regarding individual countries are considered with the weights used for calculating the MNB s own external demand indicators. These figures may differ from those published by the aforementioned institutions. OECD did not publish any information about Romania, therefore Romania is not included in our OECD forecast. * The numbers in brackets refer to the deficit achievable in case of total blocking of budgetary reserves. In our forecast we have not taken into consideration any risks from debt assumptions. Sources: Eastern Europe Consensus Forecasts (Consensus Economics Inc. (London), 1); European Commission Economic Forecasts ( 1); IMF World Economic Outlook Database (April 1), World Economic Outlook Update ( 1); IMF Country Report No. 1/ (March 1); Reuters survey (August 1); OECD Economic Outlook No.7 ( 1). 33

35 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 External Balance September 1. Net financing capacity of the household sector Notes: seasonally adjusted, as a percentage of GDP. Net financing capacity Liabilities Assets 3. Net financing capacity of the non-monetary corporate sector Notes: seasonally adjusted; as a percentage of GDP. net financing capacity liabilities assets 3

36 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 External Balance September 1. Net borrowing of the household sector HUF billions HUF billions Consumption and other loans Mortgages (in HUF) Mortgages (in foreign currency) Total amount of loans Notes: monthly change, seasonally adjusted data.. Change in export and import volumes (goods and services) Export Import Notes: annual growth rate. 3

37 7 Q1 Q1 9 Q1 1 Q1 11 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Domestic Economic Conjuncture September 1. Annual GDP growth rate 7. Quarterly GDP growth rate,, 1, 1, 1,, 1,,,, -, -, , -1, , -, -1, -, - - -, -, , -3, Source: HCSO. Notes: annual growth rate. Source: HCSO. Notes: seasonally adjusted quarterly growth rate.. Fan chart of the GDP forecast Source: MNB, HCSO. Notes: the fan chart represents the uncertainty around the central projection. Overall, the coloured area represents a 9 per cent probability. The central area containing the central projection for the GDP illustrated by the dotted line (as the mode of distribution) refers to 3 per cent of the probability. 3

38 Domestic Economic Conjuncture September 1 9. New dwelling trends 9. Developments in home prices Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Constructed dwellings (seasonally adjusted) Issued construction permits (seasonally adjusted) Source: HCSO. Notes: year-on-year volume indices of trend-estimates. Real home prices (Origo database) Source: Origo, FHN. Notes: year-on-year indices of trend-estimates; CPI deflated. FHB home price index 91. Household consumption and the accumulation of gross fixed assets Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Household consumption Gross fixed capital formation Source: HCSO. Notes: annual growth rates. 37

39 Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Domestic Economic Conjuncture September 1 9. Industrial production and the output of the manufacturing sector Industrial production Manufacturing sector Source: HCSO. Notes: year-on-year volume indices of seasonally adjusted data. 93. New orders in selected branches of the manufacturing sector New domestic orders New export orders Source: HCSO, MNB. Notes: year-on-year volume indices of seasonally adjusted data. 3

40 Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Domestic Economic Conjuncture September 1 9. GKI household confidence index (reweighted) 9. Quarterly growth rates of automobile sales level 1 level Automobile sales 3 month moving average Source: GKI. Notes: the re-weighted consumer confidence index takes into account those sub-indices of the GKI survey which are the most highly correlated with the time series of household consumption expenditure. (For more details see: MNB Background Studies 1/) Source: Association of Hungarian Motor Vehicle Importers. 9. Total volume of retail trade Total retail sales 3-month central moving average Source: HCSO. Notes: seasonally adjusted annualised monthly growth rates. The data of total retail sales contain beyond the narrow retail sales the turnover of motor vehicles and automotive fuel as well. 39

41 H 3 H1 3 H H1 H H1 H H1 H 7 H1 7 H H1 H 9 Q Q1 1 1H (forecast) H 9 Q Q1 1 1H (forecast) H H1 H H1 H 7 H1 7 H H1 H 9 Q Q1 1 1H (forecast) H H1 H H1 H 7 H1 7 H H1 H 9 Q Q1 1 1H (forecast) Domestic Economic Conjuncture September Creditworthiness standards and credit conditions in corporate sector Large and mediumsized enterprises Small and micro-sized enterprises Commercial real estate loans Notes: creditworthiness standards and credit conditions estimated by lending officers. Negative value indicates easing, positive indicates tightening compared to the last quarter (before 9 to previous half a year). 9. Creditworthiness standards and credit conditions in corporate sector Creditworthiness standards and credit conditions - housing loan Creditworthiness standards and credit conditions - consumer loan Notes: creditworthiness standards and credit conditions estimated by lending officers. Negative value indicates easing, positive indicates tightening compared to the last quarter (before 9 to previous half a year).

42 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Labour Market September Wage growth in the manufacturing sector average gross wage ex-bonus payments average gross wage Source: HCSO, seasonally adjusted by NBH Notes: annual growth rates Wage growth in the market service sector average gross wage ex-bonus payments average gross wage Source: HCSO, seasonally adjusted by NBH. Notes: annual growth rates. 1

43 Jan. 199 Jan Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Labour Market September Wage growth in the private sector 1. Unit labour cost in the private sector average gross wage ex-bonus payments average gross wage Source: HCSO, seasonally adjusted by NBH. Notes: annual growth rates. Source: HCSO. Notes: seasonally adjusted, annualised quarterly growth rates. 13. Activity and unemployment thousand persons thousand persons Source: HCSO. Notes: levels, seasonally adjusted. number of employed economically active unemployed (right-hand scale)

44 Jan. Jan. Jan. 7 Jan. Jan. 9 Jan Jan. Jan. Jan. 7 Jan. Jan. 9 Dec. Feb. 1 Aug. International and Regional Environment September year government benchmark yields in CEE countries 1. Budget deficit in the CEE countries Hungary Czech Republic Poland Maastricht reference value 1 1 Hungary (1-month average) Hungary Poland Czech Republic Source: Eurostat. Source: Consensus Economics ( 1). Notes: as a percentage of GDP. In the case of Poland and the Czech Republic privatisation revenues are not included. 1. Harmonised Index of Consumer Prices Source: Eurostat Notes: annual growth rate. Hungary Poland Czech Republic Maastricht reference value Hungary (1-month average) 3

45 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 International and Regional Environment September GDP growth rate in CEE Hungary Poland Czech Republic Slovakia Source: Eurostat. Notes: same period of previous year = 1; seasonally adjusted data. 1. External financing capacity in the CEE countries Source: Eurostat, MNB, CNB, NBP. Notes: seasonally adjusted, as a percentage of GDP. Hungary Poland Czech Republic Slovakia

46 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 International and Regional Environment September Business climate indices in the EMU 11. The annual growth rate of the volume of imported goods and services 11, 17, 1, 1, 1, 97, 9, 9, 9, 7,,,, 77, 7, 7,,7, 1,7 1,,7, -, -,7-1, -1,7 -, -,7-3, -3,7 1, 1, 1, 7,,,, -, -, -7, -1, -1, -1, -17, -, 1, 1, 1, 7,,,, -, -, -7, -1, -1, -1, -17, -, IFO EABCI (right-hand scale) Eurozone United States Japan Source: IFO; European Committee. Notes: IFO: Business Climate Index of the German Institut für Wirtschaftsforschung (Average of year = 1); EABCI: Business Climate Index of the European Committee (deviations from the long-run average), seasonally adjusted. Notes: seasonally adjusted data GDP growth rate in the EMU, US and Japan, 1, 1, -, -1-1, - -, -3-3, - -,, 1, 1, -, -1-1, - -, -3-3, - -, EMU USA Japan Source: EUROSTAT. Notes: seasonally adjusted quarterly growth rates calculated from data series in domestic currencies and at 199 prices.

47 Jan. 199 Jan Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 Real Exchange Rates September ULC based real effective exchange rate of the HUF Source: HCSO. Notes: average of year = CPI and PPI based real effective exchange rates of the HUF CPI based PPI based Source: HCSO, MNB, ECB Notes: average of year = 1.

48 Jan Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Monetary aggregates September Real growth rate of monetary aggregates (year-on-year basis) M M3 M1 11. Real growth rate of monetary aggregates (annualized from quarterly rates) M1 M M3 7