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 1 February 11 As of the 3th of, the Magyar Nemzeti Bank (the central bank of Hungary) publishes a comprehensive chart-pack about the latest information in financial markets and the macro-economy. 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 1 February EUR/HUF exchange rate HUF HUF Jan. 1 Feb Dec. 13 Jan. 9 Feb Aug. 3 1 Dec. Jan Aug. 1 Dec. Feb. 11 EUR/HUF CHF/HUF USD/HUF Notes: reverse scale, hourly observations.. EUR/HUF exchange rate (last 1 month) HUF HUF Jan Jan. 1 Jan. Jan. Jan. Jan. 1 Feb. Feb. Feb. Feb. 9 Feb. 11 Feb. 1 Feb. 1 Feb. Notes: reverse scale, hourly observations. EUR/HUF (left-hand scale) CHF/HUF USD/HUF 1

3 Interest Rates and Exchange Rates 1 February Emerging markets exchange rates Jan. Feb Dec. Jan. 9 Feb Aug. 1 Dec. Jan. 1 9 Feb Aug Dec. Jan. 11 EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: January = ; cumulative change. Positive values mean appreciation.. Emerging markets exchange rates (last 1 month) 1, 1, 1 1,, -, -1-1, - -, -3 -, -1-1, - -, -3 1 Jan. 19 Jan. 1 Jan. Jan. Jan. Jan. 31 Jan. Feb. Feb. Feb. 9 Feb. 11 Feb. 1 Feb. 1 Feb. EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: cumulative change, -minute frequency. Positive values mean appreciation.

4 Interest Rates and Exchange Rates 1 February 11. HUF vis-á-vis emerging market exchange rates Jan. Feb Dec. Jan. 9 Feb Aug. 1 Dec. Jan. 1 9 Feb Aug Dec. Jan. 11 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) Jan. 19 Jan. 1 Jan. Jan. Jan. Jan. 1 Feb. Feb. Feb. Feb. 9 Feb. 11 Feb. 1 Feb. 1 Feb. CZK PLN RON ZAR TRY Notes: cumulative change, -minute frequency. Positive values mean HUF appreciation. 3

5 Interest Rates and Exchange Rates 1 February 11. Implied and historical volatilities of the forint-euro exchange rate Jan. 9 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb Dec. Jan Feb. 1 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 Jan. 9 1 Feb Dec. 1 Jan. 1 Feb Dec. 1 Jan. 11 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 Interest Rates and Exchange Rates 1 February Implied HUF yields based on FX-swap market trades and quotes Jan. 9 3 Feb Aug Dec. Jan. 1 3 Feb Aug Dec. Jan Feb. Interest rate corridor month O/N Source: MNB, Thomson Reuters. 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 Jan. 9 Feb Aug Dec. Jan. 1 3 Feb Aug Dec. Jan. 11 Feb. Source: MNB, Thomson Reuters. 3 months months 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 1 February Implied 3 month forward interest rate curves (based on government securities yields) 1. Implied 3 month forward interest rate curve (based on interbank yields) 3 3,,,,,,,, 1 1,, 1 1,,,,,,,, - -,, Jan. 9 Feb Aug Dec. Jan. 1 3 Feb Aug Dec. Jan. 11 Feb. 3 months months,, years later 19 January 11 1 February 11 1 February 11 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 1. The difference between the quoted rate of the 3 month FRA and the current base rate év EUR (1 Feb. 11) HUF (1 Feb. 11) EUR (9 Feb. 11) HUF (9 Feb. 11) Forward differential (1 Feb. 11) - 1 month months 3 months - Forward differential (9 Feb. 11) 1 Jan Feb Feb. 11 Source: ÁKK, ECB, MNB. estimated by the ECB using the Svensson-technique, based on AAA-rated euro area central government bonds. 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.

8 Interest Rates and Exchange Rates 1 February Policy rate expectations derived from money market rates 1. Policy rate expectations derived from government bond yields,,,,,,,,,,,,,,,,,,,,,,,,,,,, Jan Dec. Feb Aug. 3 Jan Dec. 1 Jan Dec. Feb Feb January 11 1 February 11 1 February 11 1 January 11 1 February 11 1 February 11 Source: MNB, Thomson Reuters. Source: MNB, Thomson Reuters. Notes: estimated by the MNB from interbank interest rates using the spline-technique. Notes: estimated by the MNB using the Svensson-technique. 1. MNB base rate and money market rates Jan. Jan. 1 Feb Aug. 3 1 Dec. 11 Jan. 9 Feb Aug Dec. Dec. 1 Jan. 1 1 Feb Aug Dec. Jan Jan. 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.

9 Interest Rates and Exchange Rates 1 February Short-term interbank yields 19. Short-term government securities - interbank yield spreads basis point basis point 11, 11, 1, 1, 1, 1, 9, 9, 9, 9, 1 1,,,, 1 1,,,,,,,,,, - -,,,, -1-1 Jan. 9 Feb. 3 1 Aug. 13 Dec. Feb Jan. 11 Jan Aug. 1 1 Dec. 1 Feb Aug. Dec. 3 Feb month 1 year 3 month 1 year Source: MNB, Thomson Reuters. Notes: swap yields are estimated via spline method based on BUBOR, FRA, IRS data. Source: ÁKK, Thomson Reuters. Notes: the bond yields are estimated via Svensson-, swap yields via spline method.. Long-term interbank yields 1. Long-term government security - interbank yield spreads 1, 1, 3 3 1, 9, 1, 9, 9,, 9,, ,, 1 1,,,, 1 1,,,, - -,, - - Jan. 9 Feb. 3 1 Aug. 13 Dec. Feb Jan. 11 Jan Aug. 1 1 Dec. 1 Feb Aug. Dec. 3 Feb. 11 Source: MNB, Thomson Reuters. year 1 year Notes: swap yields are estimated via spline method based on BUBOR, FRA, IRS data. Source: ÁKK, Thomson Reuters. year 1 year Notes: the bond yields are estimated via Svensson-, swap yields via spline method.

10 Interest Rates and Exchange Rates 1 February 11. Short-term yields of benchmark government securities 3. Long-term yields of benchmark government securities Jan. 9 Feb Aug. 3 1 Dec. 1 Jan. 1 3 Feb. 3 9 Aug Dec. Jan. 11 Jan. 9 Feb Aug Dec. Jan. 1 1 Feb Aug Dec. Jan Feb. 3M M 1M 3Y Y 1Y 1Y Source: ÁKK. Source: ÁKK. Notes: daily reference yields provided by Government Debt Agency. Notes: daily reference yields provided by Government Debt Agency.. Yields of benchmark government securities,,,,,,,,,,,,,,,,,,,,,, 1 Jan 1. Jan 1. Jan 1. Jan 1. Jan 1. Jan Jan 1. 1 Feb 1. Feb 1. 3 Feb 1. Feb 1. Feb 1. Feb 1. 9 Feb 1. 1 Feb Feb 1. 1 Feb 1. 1 Feb 1. 1 Feb 1. 1 Feb 1. Source: Thomson Reuters, FTSE. Notes: intraday 1-minute frequency data. 3M M 1Y 3Y Y 1Y 1Y 9

11 Financial Markets 1 February 11. Spot turnover on the forint currency market. Swap turnover on the forint currency market HUF bn HUF bn HUF bn HUF bn Jan Aug. 1 1 Dec. 1 Feb Aug. 3 Jan. 11 Jan Aug. 1 1 Dec. 1 Feb Aug. 3 Jan. 11 -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.. Forward turnover on the forint currency market. Option turnover on the forint currency market HUF bn HUF bn HUF bn HUF bn Jan Aug. 1 1 Dec. 1 Feb Aug. 3 Jan. 11 Jan Aug. 1 1 Dec. 1 Feb Aug. 3 Jan. 11 -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 Financial Markets 1 February 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 Jan. 1 Feb. 9 Aug. 9 1 Base rate - 1x FRA yield differential 1 Dec. 9 Feb Jan. 1 1 Feb Aug Dec. 1 Jan Feb. 3 3 Base rate - 3x FRA yield differential net FRA position of foreigners (right-hand scale) net forward stock of residents exchange rate (right-hand scale, inverted scale) Source: MNB, Thomson Reuters. Notes: based on FRA quotes provided by Tulett & Tokio Liberty on Reuters. 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 nonstandard transactions might lead to significant subsequent modifications of the data series. 31. Forint FX Swap stock of non-residents HUF billions HUF billions Jan. 1 1 Jan. 9 Jan. 1 Feb. Feb Aug. Aug Dec. 1 Dec. 31 Dec. 1 Jan. 11 Jan. 11 Feb. 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 Financial Markets 1 February Forint FX Swap stock of non-residents HUF billions HUF billions Jan Feb Aug. 3 1 Dec. 1 Jan. 1 Feb Dec. 31 Jan. 11 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 Jan. 13 Feb. 13 Aug Dec. 9 Jan Jan Feb Aug. 3 1 Dec. 31 Jan. 11 Source: MNB, TeleDataCast. government securities central bank (two-week) bills equity 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 1 February Government securities of non-residents by tenor HUF billions HUF billions Aug. Aug. 1 Dec. 1 Dec. 3 Dec. 13 Jan. 11 Jan. 1 Feb. total amount maturing until 31/1/1 maturing between 1/1/13 and 31/1/1 maturing after 1/1/1 auctions, redemptions Notes: 1 1 = ; cumulative change without central bank bills. 3. Government securities held by non-residents HUF billions HUF billions Jan. 9 Feb. Aug. Dec. Jan. 1 Feb. Aug. Dec. Jan. 11 Feb. 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 Financial Markets 1 February Government securities held by non-residents and the proportion to the total amount outstanding. 3. Government securities held by non-residents and the proportion to the total amount outstanding HUF bn HUF bn Jan. Jan. Feb. Feb Dec. Dec. Jan. Jan. 3 Feb Feb. 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 39. The relative average time to maturity of residents' and non-residents' government security portfolio year year month month,,,,,,,, 3 3,, 1 1,, -1-1,, , 3, - - Jan. 9 1 Feb. 1 Aug Dec. 1 Jan Aug. 1 3 Dec. 1 Feb. 11 Jan. 9 9 Feb. 1 1 Aug Dec. Jan Dec. Jan. 11 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 1 February 11. 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 ,,, Source: ÁKK. Announced (billion HUF) Total bid (billion HUF) Accepted (billion HUF) Max yield ( - rhs) Avg yield ( - rhs) Min yield ( - rhs) 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. 1. Government securities issues, buybacks, redemptions HUF billions HUF billions Jan Jan. 1 Jan. 31 Jan. 1 Feb. Feb Aug. 19 Aug. 9 Aug Dec. 1 Dec. Dec. Jan Jan. Jan. Feb. 1 Feb. Net T-bill issuance Bonds bought back Bonds matured Bonds issued Net change Source: ÁKK. 1

17 Financial Markets 1 February 11. Turnover on the forint unsecured interbank market 3. Turnover on the forint FRA market HUF bn HUF bn HUF bn HUF bn Jan. 9 Feb Aug. Dec. Jan. 1 Feb Aug Dec. 11 Jan Feb. Feb Aug Dec. Jan. 1 Feb Aug Dec. 13 Jan Feb. -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 Jan Feb. 9 Aug. 11 Jan. 1 Feb Aug Jan. 11 less than 1 year 1 to 3 years 3 to years more than years Source: KELER Notes: 1-day moving averages. 1

18 International and Regional Environment 1 February 11. ECB policy rate expectations,,, 1, 1, 1, 1,,,,,,,, 1, 1, 1, 1,,,,, Jan. 1 1 Aug. 1 Dec. 1 Feb Jan. 1 Feb Aug. 9 Dec. 1 January 11 9 February 11 1 February 11 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 Jan Aug. Dec. Feb. 11 Aug. 3 Dec. Notes: derived from Fed funds futures contracts. 1 January 11 9 February 11 1 February 11 1

19 International and Regional Environment 1 February 11. Policy rates of the ECB, Fed, Swiss National Bank and the 3-month money market interest rates. 3, 3,,,,, 1, 1, 1, 1,,,,, 1 Jan. 9 Feb Dec. 1 Jan. 1 Feb Aug. 3 Dec. Jan Feb. ECB EUR yield SNB CHF yield Fed funds target rate USD yield. 3 month interbank and treasury yield spreads Jan. 9 Feb Dec. Jan. 1 Feb Aug. 9 3 Dec. Jan Feb. euro dollar 1

20 International and Regional Environment 1 February month LIBOR - OIS spreads Jan. 9 Feb Dec. 1 Jan. 1 Feb Aug. 3 Dec. Jan Feb. EUR USD GBP. Long-term EUR and USD benchmark yields,, 3, 3, 3, 3,,,,, 1 Jan. 9 1 Feb Dec. 1 Jan. 1 Feb. 1 1 Aug. 3 Dec. 31 Jan year EUR 1-year USD Notes: based on benchmark yield data provided by Thomson Reuters. 19

21 International and Regional Environment 1 February Major currencies versus the dollar Jan. 9 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb Aug. 9 Dec. 3 Dec. Jan. 11 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 Jan. 9 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb Aug. 9 Dec. 3 Dec. Jan. 11 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 International and Regional Environment 1 February Developed market stock indices Jan. 9 Jan. Feb Aug. 9 Dec. 3 Dec. Jan. 9 Feb Aug. 3 1 Dec. 9 Dec. Jan. 1 3 Feb Aug. 3 Dec. Jan. 11 Notes: 1 January = ; cumulative change. DJ STOXX S&P FTSE 1 NIKKEI. Emerging market stock indices Jan. 9 Jan. Feb Aug. 9 Dec. 3 Dec. Jan. 9 Feb Aug. 3 1 Dec. 9 Dec. Jan. 1 3 Feb Aug. 3 Dec. Jan. 11 BUX (Hungary) PX (Czech Rep.) WIG (Poland) RTS (Russia) Shanghai Composite Notes: 1 January = ; cumulative change. 1

23 International and Regional Environment 1 February 11. Major risk aversion indicators Jan. 9 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 1 Feb Aug. 9 Dec. 3 Dec. Jan. 11 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 Jan. 9 9 Jan. Feb Aug. 1 Dec. 1 Jan. 1 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 11 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 International and Regional Environment 1 February 11. year sovereign CDS spreads in emerging markets Aug. 1 9 Dec. 9 Feb Jan. 1 Feb. 1 9 Aug Dec. Jan. 11 Hungary Romania Bulgaria Croatia CEEMEA SovX Notes: CEEMEA is a composite index calculated from the 1 most liquid sovereign CDS-speads in the CEEMEA region.. year sovereign CDS spreads in emerging markets (last months) Dec. 1 Dec. 9 Dec. 1 Jan. 11 Jan. 1 Feb. 11 Feb. Hungary Romania Bulgaria Croatia CEEMEA SovX Notes: CEEMEA is a composite index calculated from the 1 most liquid sovereign CDS-speads in the CEEMEA region. 3

25 International and Regional Environment 1 February year sovereign CDS spreads in peripherial eurozone countries Aug. 1 9 Dec. 9 Feb Jan. 1 Feb. 1 9 Aug Dec. Jan. 11 Greece Portugal Spain Italy Ireland CEEMEA SovX CEEMEA is a composite index calculated from the 1 most liquid sovereign CDS-speads in the CEEMEA region.. year sovereign CDS spreads in peripherial eurozone countries (last months) Dec. 1 Dec. 31 Dec. 1 Jan. Jan. 11 Feb. Greece Portugal Spain Italy Ireland CEEMEA SovX CEEMEA is a composite index calculated from the 1 most liquid sovereign CDS-speads in the CEEMEA region.

26 International and Regional Environment 1 February year sovereign CDS spreads in emerging European countries. year sovereign CDS spreads in emerging European countries (utóbbi hónapok) Aug. 1 9 Dec. 9 Feb Jan. 1 Feb. 1 9 Aug Dec. Jan Dec. 1 Dec. 9 Dec. 1 Jan. 11 Jan. 1 Feb. 11 Feb. Poland Czech Republic Russia Poland Czech Republic Russia Turkey Estonia Turkey Estonia 3. Emerging market sovereign foreign currency bond spreads Jan. 9 Feb Aug. 3 Dec. Jan Dec. 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.

27 International and Regional Environment 1 February 11. Policy rates and 3-month interbank deposit rates in CEE countries Aug. 3 1 Dec. Jan Aug. 1 9 Dec. 9 Feb Aug. 1 Dec. 13 Jan. 11 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 Central European and Baltic counties Jan Jan. Feb. Feb Aug Dec. 31 Dec. Jan. 1 1 Feb Aug Dec. Dec. 1 Jan. 11 Feb. Notes: -day moving averages. Estonia Lithuania Latvia Bulgaria Ukraine (right-hand scale)

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

29 International and Regional Environment 1 February Spreads over year euro spot zero coupon yields Jan. 9 3 Jan. Feb Aug Dec. 1 Jan. 1 9 Jan. Feb Aug. 1 3 Dec. 31 Dec. Jan. 11 HUF CZK PLN Notes: zero-coupon yields provided by Reuters.. year implied spreads over euro rates in year's time Jan. 9 Feb Dec. Jan. 1 Feb Aug. 9 3 Dec. Jan Feb. Notes: based on swap rates provided by Reuters. HUF CZK PLN

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

31 Inflation 1 February The CPI and the Core CPI. Developments in underlying inflation indicators Jan. 3 Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Jan. 11 Source: HCSO, MNB Core Consumer Price Index Consumer Price Index 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 Jan/ Sep Jan/3 Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/9 Sep Jan/1 Sep Jan/11 Source: HCSO, MNB. Range of underlying inflation indicators Core inflation excluding indirect tax changes Notes: The range is constructed of the median, weighted median, trimmed mean and Edgeworth-index indicators Weight - 1 Weight - 11 Nov-1 Dec-1 Jan-11 Consumer Price Index 1, 1,,,, thereof. Decomposition of the Consumer Price Index Unprocessed food,,9 1, 1,1 1, Processed food 11, 11, 3,,, Manufactured goods,, -,1,3, Market services, 1,9,,,1 Non-regulated household energy 1,9, 11, 11,9 9, Alcohol, tobacco 9, 9,, 3, 1, Gasoline prices,, 13,9,1 1, Regulated prices 1, 1,,,, Core Consumer Price Index,, 1,9, 1, CPI without Tax Changes 1, 1, 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. 3

32 Inflation 1 February 11. The HUF/EUR exchange rate and the analysts' expectations HUF/EUR HUF/EUR Jan Dec. Feb. 9 1 Aug. Jan Dec Feb. 1 1 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,1 from October 1 1, and at,3 from 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.. The Brent crude oil price and market expectations USD/barrel 1 USD/barrel Jan Jan. 3 3 Feb Feb. 9 3 Jan. 3 1 Jan Jan Jan. 1 Jan Dec. 1 3 Dec. 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. 31

33 Inflation 1 February 11. Monetary conditions Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Jan 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 199 = 1; increase represents appreciation). 9. Fan chart of the inflation forecast Q1 Q1 9 Q1 1 Q1 11 Q1 1 Q1 Baseline Unfavourable risk assessment More rapid recovery of employment Unanchored inflation expectations 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. 3

34 Inflation 1 February 11. Analysts' expectations for the inflation rate in 11,,,, 3, 3,,, 1, 1,,,,, 3, 3,,, 1, 1, Jan. 9 Feb. Aug. Dec. Jan. 1 Feb. Aug. Dec. Jan. 11 Feb. 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. 1. Analysts' expectations for the inflation rate in 1,,,, 3, 3,,, 1, 1,,,,, 3, 3,,, 1, 1, Jan. 1 Feb. Aug. Dec. Jan. 11 Feb. 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. 33

35 Inflation 1 February 11. The latest central projection of the MNB compared to other prognoses Consumer Price Index (annual average growth rate, ) MNB (November 1), 3,3 - Consensus Economics (January 11) European Commission (November 1) 3,9 3, - IMF (February 11),1 3, 3, OECD (November 1),9 3,1 - Reuters survey (February 11) GDP (annual growth rate, ) MNB (November 1) 3,1, - Consensus Economics (January 11) European Commission (November 1), 3, - IMF (February 11), 3, 3, OECD (November 1), 3,1 - Reuters survey (February 11) Current account balance (percent of GDP) MNB (November 1),3,1 - European Commission (November 1), -. - IMF (February 11),1 -, -1,1 OECD (November 1) Budget deficit (ESA-9 method, percent of GDP) MNB (November 1), 3,1 - Consensus Economics (January 11) European Commission (November 1),, - IMF (February 11) -,,, OECD (November 1) 3,1,9 - Reuters survey (February 11) 1 (-.) Forecasts on the size of Hungary's export markets (annual growth rate, ) MNB (November 1),, - European Commission (November 1) 3,3, - IMF (October 1),1 - - OECD (November 1) 3,,, - Forecasts on the GDP growth rate of Hungary's trade partners (annual growth rate, ) MNB (November 1) 1,9, - European Commission (November 1) 3,1, - IMF (January 11) 3,, - OECD (November 1) 3,,3, - 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. Sources: Eastern Europe Consensus Forecasts (Consensus Economics Inc. (London), January 11); European Commission Economic Forecasts (November 1); IMF Country Report No.11/3 (February 11), IMF World Economic Outlook Database (October 1), IMF World Economic Outlook Update (January 11); Reuters survey (February 11); OECD Economic Outlook No. (November 1). 3

36 External Balance 1 February Net financing capacity of the household sector Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Net financing capacity Liabilities Assets Seasonally adjusted, as a percentage of GDP. The uncertainty of seasonal adjustment is more higher than usual due to the outliers in the second and fourth quarter of 1. The adjustment might be changed significantly by the incoming new data.. Net financing capacity of the non-monetary corporate sector Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Notes: seasonally adjusted; as a percentage of GDP. net financing capacity liabilities assets 3

37 External Balance 1 February 11. Net borrowing of the household sector HUF billions HUF billions Jan. Jan. 3 Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 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) Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Export Import Notes: annual growth rate. 3

38 Domestic Economic Conjuncture 1 February 11. Annual GDP growth rate. Quarterly GDP growth rate,, 1, 1, 1, 1,,,,, -, -1, -, -1, , -1, - - -, -, -, -, , -3, , -3, Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Source: HCSO. Notes: annual growth rate. Source: HCSO. Notes: seasonally adjusted quarterly growth rate. 9. Fan chart of the GDP forecast Q1 Q1 9 Q1 1 Q1 11 Q1 1 Q1 Baseline Unfavourable risk assessment More rapid recovery of employment Unanchored inflation expectations 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

39 Domestic Economic Conjuncture 1 February New dwelling trends 91. Developments in home prices Q1 199 Q1 199 Q1 199 Q Q1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Constructed dwellings (seasonally adjusted) Issued construction permits (seasonally adjusted) Real home prices (Origo database) FHB home price index Source: HCSO. Notes: year-on-year volume indices of trend-estimates. Source: Origo, FHN. Notes: year-on-year indices of trend-estimates; CPI deflated. 9. Household consumption and the accumulation of gross fixed assets Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Household consumption Gross fixed capital formation Source: HCSO. Notes: annual growth rates. 3

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

41 Domestic Economic Conjuncture 1 February GKI household confidence index (reweighted) 9. Quarterly growth rates of automobile sales level level Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 - Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Automobile sales 3 month moving average Source: GKI. Source: Association of Hungarian Motor Vehicle Importers. Notes: the re-weighted consumer confidence index takes into account those subindices 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/) 9. Total volume of retail trade Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 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.

42 Domestic Economic Conjuncture 1 February Creditworthiness standards and credit conditions in corporate sector H 9 Q Q Q1 (forecast) H H1 H H1 H H1 H H1 H 9 Q Q Q1 (forecast) H H1 H H1 H H1 H H1 H 9 Q Q Q1 (forecast) 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). 99. Creditworthiness standards and credit conditions in corporate sector H 3 H1 3 H H1 H H1 H H1 H H1 H H1 H 9 Q Q Q1 (forecast) 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). 1

43 Labour Market 1 February Wage growth in the manufacturing sector Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Average gross wage ex-bonus payments Average gross wage Source: HCSO, seasonally adjusted by NBH Notes: annual growth rates. 11. Wage growth in the market service sector Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Average gross wage ex-bonus payments Average gross wage Source: HCSO, seasonally adjusted by NBH. Notes: annual growth rates.

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

45 International and Regional Environment 1 February year government benchmark yields in CEE countries 1. Budget deficit in the CEE countries Jan. Jan. Jan. Jan. Jan. 9 Dec. Feb. 1 Aug. 1 1 Hungary Poland Czech Republic Maastricht reference value Hungary (1-month average) Hungary Poland Czech Republic Source: Eurostat. Source: Consensus Economics December 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 Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Hungary Poland Czech Republic Maastricht reference value Hungary (1-month average) Source: Eurostat Notes: annual growth rate.

46 International and Regional Environment 1 February GDP growth rate in CEE Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Hungary Poland Czech Republic Slovakia Source: Eurostat. Notes: same period of previous year = 1; seasonally adjusted data. 19. External financing capacity in the CEE countries Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 Source: Eurostat, MNB, CNB, NBP. Notes: seasonally adjusted, as a percentage of GDP. Hungary Poland Czech Republic Slovakia

47 International and Regional Environment 1 February Business climate indices in the EMU 111. The annual growth rate of the volume of imported goods and services 11, 3, 11,, 11, 1, 1, 1, 1, 9,, 1, 1,,, , 9, -, -1, 9,,,,,, -1, -, -, -3, -3, , Jan. Jan. 1 Jan. Jan. 3 Jan. Jan. Jan. Jan. Jan. Jan. 9 Jan. 1 Jan. 11 -, - Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 - IFO Source: IFO; European Committee. EABCI (right-hand scale) Eurozone United States Japan 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. 11. GDP growth rate in the EMU, US and Japan 3, 1, 1, -, -1-1, - -, -3-3, - -, - -, 3, 1, 1, -, -1-1, - -, -3-3, - -, - -, Q1 1 Q1 Q1 3 Q1 Q1 Q1 Q1 Q1 Q1 9 Q1 1 Q1 EMU USA Japan Source: EUROSTAT. Notes: seasonally adjusted quarterly growth rates

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

49 Monetary aggregates 1 February Real growth rate of monetary aggregates (year-on-year basis) Feb Feb. Feb. 1 Feb. Feb. 3 Feb. Feb. Feb. Feb. Feb. Feb. 9 Feb. 1 M M3 M1 11. Real growth rate of monetary aggregates (annualized from quarterly rates) Feb Feb. Feb. 1 Feb. Feb. 3 Feb. Feb. Feb. Feb. Feb. Feb. 9 Feb. 1 M1 M M3