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 March 1 As of the th 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 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. Earlier versions of the chart-pack are accessible on the website of Magyar Nemzeti Bank via the following address. 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 199 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 March 1 1. Developments in HUF exchange rate HUF Jan. 1 Feb. 17 June Dec. 1 Jan. 9 Feb June 11 Aug. 1 Dec. Jan June 1 Aug. 1 Dec. Feb June Jan. 1 Feb. HUF EUR/HUF CHF/HUF USD/HUF Notes: reverse scale, hourly observations.. Developments in HUF exchange rate (last 1 month) HUF HUF Feb. Feb. 7 Feb. 9 Feb EUR/HUF (left-hand scale) CHF/HUF USD/HUF Notes: reverse scale. 1

3 Interest Rates and Exchange Rates March 1. Emerging markets exchange rates Jan. Feb June Dec. Jan. 9 Feb. 1 9 June 1 1 Aug. 7 1 Dec. Jan. 1 9 Feb. 1 9 June Aug Dec. Jan June 19 Aug. 7 Dec. 11 Jan. 1 1 Feb. 1 - EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: January = ; cumulative change. Positive values mean appreciation.. Emerging markets exchange rates (last 1 month) Feb. Feb. 7 Feb. 9 Feb EUR/HUF EUR/PLN EUR/CZK EUR/RON Notes: cumulative change, -minute frequency. Positive values mean appreciation.

4 Interest Rates and Exchange Rates March 1. HUF vis-á-vis emerging market exchange rates Jan. Feb June Dec. Jan. 9 Feb. 1 9 June 1 1 Aug. 7 1 Dec. Jan. 1 9 Feb. 1 9 June Aug Dec. Jan June 19 Aug. 7 Dec. 11 Jan. 1 1 Feb. 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) Feb. Feb. 7 Feb. 9 Feb CZK PLN RON ZAR TRY Notes: cumulative change, -minute frequency. Positive values mean HUF appreciation.

5 Interest Rates and Exchange Rates March 1 7. Implied and historical volatilities of the forint-euro exchange rate Jan. 9 9 Jan. Feb. 1 1 June 1 1 Aug. 1 Dec. 1 Dec. Jan. 1 Feb. 17 June Dec. Jan Feb. 1 June 1 1 Aug Dec. Jan. 1 Jan. 7 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. 7 1 June 1 Dec. 1 Jan. 1 Feb Dec. 1 Jan Aug. 11 Dec. Feb. 1 1 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 March 1 9. Implied HUF yields based on FX-swap market trades and quotes Jan. 1 Feb. 7 June 17 Aug Dec. Jan Feb. 9 7 June 19 Aug Dec. 1 Jan. 1 7 Feb. Interest rate corridor months 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 -month maturity. 1. Difference between interbank yields and implied yields based on FX-swap markets Jan. 1 9 Jan. Feb. 1 1 June 1 1 Aug Dec. Jan Jan. Feb. June 1 1 Aug Dec. Jan. 1 Jan. 7 Feb. months (USDHUF) months (USDHUF) months (EURUSD) months (EURUSD) Source: MNB, Thomson Reuters, Bloomberg. Notes: implied yields based on USDHUF and EURUSD FX-swap quotes provided by Thomson Reuters; interbank HUF yields are estimated via spline method based on BUBOR, FRA, IRS data.

7 Interest Rates and Exchange Rates March Implied month forward interest rate curves (based on government securities yields) 1. Implied month forward interest rate curve (based on interbank yields) 9, 9, 9, 9, 9, 9, 9, 9,,,,,,,,, 7, 7, 7, 7, 7, 7, 7, 7,,, years later February 1 1 March 1 March 1,, years later February 1 1 March 1 March 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. 1. Spread between -month forward yields in EUR and HUF year 1. The difference between the quoted rate of the month FRA and the current base rate 7 7 EUR ( 1) HUF ( 1) EUR (1 1) HUF (1 1) Forward diff. ( 1) Forward diff. (1 1) - 1 month months months Feb Source: ÁKK, ECB, MNB. Notes: 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 month forward rate agreement starting from the given date and the base rate.

8 Interest Rates and Exchange Rates March 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,,,,,,,,, 1 11 Aug. 1 1 Dec. 1 Feb. 1 1 June Jan. 1 June Aug. 1 1 Dec. 11 Aug Jan. 1 1 June 1 1 Dec. 1 Feb Aug. 1 Dec. February 1 1 March 1 March 1 Source: MNB, Thomson Reuters. February 1 1 March 1 March 1 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. 17. MNB base rate and money market rates 9, 9,,,,, 7, 7, 7, 7,,,,,,,,,,,,, Jan. 1 1 Feb. 1 7 June 19 Aug Dec. 11 Jan. 11 Feb. June 1 9 Aug Dec. 17 Jan. 1 1 Feb. 1 O/N interbank Baserate (-week central bank bill) M 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 Interest Rates and Exchange Rates March 1 1. 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 7, 7, 7, 7,,,,,,, - -,,,, -1-1 Jan. 9 7 Feb. 7 June 1 Aug. 1 Dec. Feb Jan Aug. 1 Dec. 1 Feb. 1 Jan June Aug. 1 1 Dec. 1 Feb June 1 Aug. 7 Dec. Feb Jan. 1 1 month 1 year month 1 year Source: MNB, Thomson Reuters. Source: ÁKK, Thomson Reuters. Notes: swap yields are estimated via spline method based on BUBOR, FRA, IRS data. 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, 9, 9,,, 7, 7,,,, Jan. 9 7 Feb. 7 June 1 Aug. 1 Dec. Feb Jan Aug. 1 Dec. 1 Feb. 1 Source: MNB, Thomson Reuters. year 1 year 1, 1, 9, 9,,, 7, 7,,,, Source: ÁKK, Thomson Reuters. Jan June Aug. 1 1 Dec. 1 Feb June 1 Aug. 7 Dec. Feb Jan. 1 1 year 1 year Notes: swap yields are estimated via spline method based on BUBOR, FRA, IRS data. Notes: the bond yields are estimated via Svensson-, swap yields via spline method.

10 Interest Rates and Exchange Rates March 1. Short-term yields of benchmark government securities. Long-term yields of benchmark government securities Jan. 9 9 June Aug. 1 Dec. Feb. 1 June 1 9 Jan June Aug. 1 Dec. 7 Jan. 1 Jan. 9 9 June Aug Dec. 17 Feb June 17 Aug. 1 Dec. 17 Feb June 1 Aug. 1 7 Dec. 1 Feb. 1 M M 1M Y 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 9,,7,,, 7,7 7, 7, 7, 9,,7,,, 7,7 7, 7, 7,,7,7 Feb 11. Feb 11. Feb Feb 11. Feb Feb Mar 11. Mar 11. Mar 11. Mar Mar 11. Mar Mar Mar Mar Mar Mar 11. Mar Mar 11. Mar 11. Mar 11. Source: Thomson Reuters, FTSE. Notes: intraday 1-minute frequency data. M M 1Y Y Y 1Y 1Y 9

11 Financial Markets March 1. Spot turnover on the forint currency market. Swap turnover on the forint currency market HUF bn HUF bn HUF bn HUF bn Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan Jan. 1 Feb. Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan Jan. 1 Feb. -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 Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan Jan. 1 Feb. HUF bn HUF bn 1 Jan. 9 7 June 19 Aug. 1 1 Dec. 1 Feb June Aug. Jan Jan. 1 Feb. HUF bn 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 Financial Markets March 1 9. Net FRA position of non-residents and FRA-base rate spreads. Net Forint forward stock of residents and the exchange rate HUF bn HUF bn EUR/HUF Jan. 11 Feb. 7 9 June 9 Aug Dec. 1 Jan. Base rate - 1x FRA yield differential 9 Feb Jan. 1 1 Feb. 1 7 June Aug Dec. 17 Jan Feb June Aug. 9 Dec. Jan. 1 Feb Base rate - x FRA yield differential net forward stock of residents net FRA position of foreigners (right-hand scale) 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. 1. Forint FX Swap stock of non-residents HUF billions HUF billions Jan. 1 1 Jan. 9 Jan. 1 Feb. Feb June 1 June 1 1 Aug. 7 Aug Dec. 17 Dec. 1 Dec. 1 Jan. 11 Jan. 11 Feb. Feb. 11 June 17 June Aug. Aug Dec. 1 Dec. Dec. 1 Jan. 1 7 Jan. 1 Feb. Feb. 9 - HUF/FX - max 1W HUF/FX - 1W-M HUF/FX - M-1Y HUF/FX - min 1Y FX/HUF - max 1W FX/HUF - 1W-M FX/HUF - M-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 March 1. Forint FX Swap stock of non-residents HUF billions HUF billions Jan. 1 1 Feb June 1 1 Aug. 9 Dec. 17 Jan. 11 Feb June 1 Aug. 7 1 Dec. Jan. 1 7 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.. Forint financial assets held by non-residents HUF billions HUF billions Jan. 1 Feb. 7 1 June 1 Dec. 1 Jan. 9 Feb. 17 Aug Dec. Feb. 1 1 June 9 1 Dec. 1 Jan. 11 Feb. 1 Aug Dec. Feb Source: MNB, KELER. 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 March 1. Change in government securities of non-residents by tenor HUF Bln 7 HUF Bln June Aug. Aug. 7 1 Dec. 19 Dec. Jan Jan. 1 Jan. 1 Feb. Feb. 1 Total amount Maturing before 1 Dec. 1 Maturing between 1 Jan. 1 and 1 Dec. 1 Maturing later than 1 Jan. 17 Auctions, redemptions Notes: 1 June 1 = ; cumulative change without central bank bills.. Government securities held by non-residents HUF bln HUF bln Jan. 1 Feb June 1 1 Aug Dec. 1 Jan. 11 Feb June Aug Dec. 11 Jan. 1 Feb. 1 1 T-Bill redemption T-Bond redemption T-Bill auction T-Bond auction Secondary market Total - Notes: monthly change. The last month contains information on available data. 1

15 Financial Markets March 1. Government securities held by non-residents and the proportion to the total amount outstanding 7. Government securities held by non-residents and the proportion to the total amount outstanding HUF bn HUF bn Jan Feb. 1 Dec. 9 1 Feb Feb. 1 June Aug. Aug. 7 1 Dec. 19 Dec. Jan Jan. 1 Jan. 1 Feb. Feb. 1 stock (right-hand scale) stock (right-hand scale) percentage of total amount outstanding percentage of total amount outstanding Notes: MNB calculations excluding central bank bills. Notes: MNB calculations excluding central bank bills.. The average time to maturity of residents' and nonresidents' government security portfolio year,,,,,,,,,,,, Jan. 9 1 Feb. 1 June Aug Dec. Jan. 1 9 June 1 Aug. 11 Jan Feb. 1 June Aug. 1 1 Dec. Jan. 1 7 year,,,,,,,,,,,, 9. The relative average time to maturity of residents' and non-residents' government security portfolio month Jan. 9 9 Feb. 1 1 Aug. 1 1 Dec. Feb June 11 1 Dec. Jan June Aug. 1 Dec. 1 Jan. 1 Feb. month total non-residents residents non-residents residents Notes: MNB calculations including T-Bonds and T-Bills and excluding central bank (two-week) bills. Notes: MNB calculations; including T-Bonds and T-Bills, and excluding central bank (two week) bills. 1

16 Financial Markets March 1. The turnover and yield data of the Hungarian primary t-bill and t-bond issues HUF billions 1 month T-bill 1 month T-bill year T-bond year T-bond 1 year T-bond 1, 1, , 9,,, 7, 7,,,,, Feb Feb Feb Feb 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. 1. Government securities issues, buybacks, redemptions HUF bn HUF bn Jan Jan. 1 Feb June June 9 Aug. 9 Aug Dec. 7 Dec. 1 Jan. 1 Feb. Feb. 1 T-bond issuance Net T-bill issuance Bonds bought back Bonds matured Net change Source: ÁKK. 1

17 Financial Markets March 1. Turnover on the forint unsecured interbank market. Turnover on the forint FRA market HUF bn HUF bn HUF bn HUF bn Jan. 1 Feb. June Aug Dec. 7 Jan. 11 Feb. 9 7 June 7 Aug. Dec. Jan. 1 1 Feb. Jan. 1 Feb. June Aug Dec. 7 Jan. 11 Feb. 9 7 June 7 Aug. Dec. Jan. 1 1 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 bln HUF bln Jan 1 19 Feb 9 Mar 9 June 1 1 Aug Sep Oct Dec 7 Jan Feb 19 Mar Apr 9 Aug 1 Sep 1 Oct Nov 9 Dec Feb 1 Mar less than 1 year 1 to years to years more than years Source: KELER Notes: 1-day moving averages. 1

18 International and Regional Environment March 1. ECB policy rate expectations,, 1,7 1,7 1, 1, 1, 1, 1, 1,,7,7,,,,,, Jan. 1 1 June 1 Aug. 11 Dec. 1 Jan Jan. 1 Feb. 1 June 1 Aug. Dec. February 1 1 March 1 March 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,,7,7,,,,,, 1 Jan June Aug. Dec. 1 Feb June 1 Aug. 1 1 Dec. Feb. 1 9 June 7 Aug. Dec. Feb. 1 June 1 Aug. 9 February 1 1 March 1 March 1 Notes: derived from Fed funds futures contracts. 17

19 International and Regional Environment March 1 7. Policy rates of the ECB, Fed, Swiss National Bank and the -month money market interest rates,,,,,, 1, 1, 1, 1,,,,, 1 Jan. 9 Feb June 1 17 Dec. 1 Jan. 1 Feb. 1 1 June Dec. 1 Jan June 9 Aug. 7 1 Dec. 1 Jan. 1 Feb. ECB EUR yield SNB CHF yield Fed funds target rate USD yield. month interbank and treasury yield spreads Jan. 9 Feb June 1 17 Dec. 1 Jan. 1 Feb. 1 1 June Aug Dec. Jan June 19 Aug. 7 Dec. 11 Jan. 1 1 Feb. 1 euro dollar 1

20 International and Regional Environment March 1 9. month LIBOR - OIS spreads Jan. 9 Feb June Dec. Jan. 1 Feb June 1 Aug. 9 Dec. 7 Jan Feb Aug Dec. Feb. 1 EUR USD. Long-term EUR and USD benchmark yields,,,,,,,,,, 1, 1, 1 Jan. 9 1 Feb. 7 1 June 1 Dec. 1 Jan. 1 Feb. 1 1 Aug. Dec. 1 Jan June 1 9 Aug. 1 1 Jan. 1 1 Feb. 1-year EUR 1-year USD Notes: based on benchmark yield data provided by Thomson Reuters. 19

21 International and Regional Environment March 1 1. Major currencies versus the dollar Jan. 9 9 Jan. Feb. 1 1 June 1 1 Aug. 1 Dec. 1 Dec. Jan. 1 Feb. 17 June 1 1 Aug. 9 7 Dec. Dec. 7 Jan. 11 Feb June 1 1 Aug. 9 7 Dec. Dec. 7 Jan. 1 Feb USD/EUR USD/GBP USD/CHF USD/JPY Notes: 1 January 9 = ; cumulative change. Positive values indicate USD appreciation. USD/barrel; index values Commodity benchmarks 1 Jan. 9 9 Jan. Feb. 1 1 June 1 1 Aug. 1 Dec. 1 Dec. Jan. 1 Feb. 17 June 1 1 Aug. 9 7 Dec. Jan Jan. Feb. June 1 1 Aug Dec. Jan. 1 Jan. 7 Feb. 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 International and Regional Environment March 1. Developed market stock indices Jan. 9 Feb. 9 7 June 19 Aug Dec. Jan. 1 Feb. 1 June 9 June 7 Aug Dec. Jan Feb June 1 11 Aug. 1 Dec. Dec. 7 Jan. 1 Feb. DJ STOXX S&P FTSE 1 NIKKEI Notes: January 9 = ; cumulative change.. Emerging market stock indices Jan. 9 9 Feb. 9 June 1 Aug. 7 Dec. Jan Feb. 1 1 June 1 11 Aug Dec. 1 Jan Feb June 7 Aug. 9 Dec. Jan. 1 Feb BUX (Hungary) PX (Czech Rep.) WIG (Poland) Shanghai Composite RTS (Russia; right-hand scale) Notes: 1 January 9 = ; cumulative change. 1

23 International and Regional Environment March 1. Major risk aversion indicators /Jan/9 9/Jan /Feb /Mar /Apr 1/ 1/Jun 1/Jul 1/Aug 1/Sep /Oct /Nov /Dec 1/Dec /Jan/1 /Feb /Mar /Apr / 17/Jun 1/Jul 1/Aug 9/Sep 7/Oct /Nov /Dec /Dec 7/Jan/11 /Feb /Mar 1/Apr 19/ 1/Jun 1/Jul 11/Aug /Sep /Oct /Nov 1/Dec 9/Dec /Jan/1 /Feb /Mar VIX index EUR/USD 1 month implied volatility EMBI Global (right-hand scale) Source: Thomson Reuters; JP Morgan. 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. 1 1 June 1 1 Aug. 1 Dec. 1 Jan. 1 9 Jan. Feb. 1 1 June 1 1 Aug. 1 Dec. 1 Dec. Jan. 11 Feb. 17 June 1 1 Aug. 9 7 Dec. Jan. 1 Jan. 7 Feb. 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 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 March 1 7. year sovereign CDS spreads in emerging markets June 1 Aug Dec. 9 Feb. 9 1 June Jan. 1 Feb. 17 June 9 Aug. 1 1 Dec. Jan Aug. 1 Dec. 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.. year sovereign CDS spreads in emerging markets (last months) Dec. 19 Dec. 9 Dec. 1 Jan. Jan. 1 Feb. 1 Feb. Feb. 1 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.

25 International and Regional Environment March 1 9. year sovereign CDS spreads in peripherial eurozone countries June 1 Aug Dec. 9 Feb. 9 1 June Jan. 1 Feb. 17 June 9 Aug. 1 1 Dec. Jan Aug. 1 Dec. Feb Spain Italy Ireland WE SovX Portugal WE SovX is a composite index calculated from the 1 most liquid sovereign CDS-speads in the Western European region.. year sovereign CDS spreads in peripherial eurozone countries (last months) Dec. Dec. Jan. Jan. Feb. 17 Feb. 1 Spain Italy Ireland WE SovX Portugal WE SovX is a composite index calculated from the 1 most liquid sovereign CDS-speads in the Western European region.

26 International and Regional Environment March 1 1. year sovereign CDS spreads in emerging European countries. year sovereign CDS spreads in emerging European countries (last months) 1 1 basis points basis points June 17 1 Jan June Aug Dec. Feb Jan June Aug Dec. Feb Dec. 19 Dec. 9 Dec. 1 Jan. Jan. 1 Feb. 1 Feb. Feb Poland Czech Republic Russia Poland Czech Republic Russia Turkey Estonia Turkey Estonia Jan. 9 Feb. 1 June 1 Aug.. Emerging market sovereign foreign currency bond spreads Dec. Jan Hungary all emerging Latin America CEE Asia Dec. Feb June 11 Aug. 1 Dec Jan. 1 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 March 1. Policy rates and -month interbank deposit rates in CEE countries Jan. 1 1 Feb. 7 1 June Dec. 1 Jan Aug. 9 1 Dec. 1 Feb. 1 1 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 1 1 Jan. 1 Jan. 17 Feb June 19 Aug Dec. Jan. 11 Jan. 17 Feb June 7 1 Aug Dec. Jan. 1 Jan. 1 Feb. 9 Lithuania Latvia Bulgaria Ukraine (right-hand scale) Notes: -day moving averages.

28 International and Regional Environment March 1. Spreads of -year Eastern European foreign currency bond yields over benchmarks 7. Spreads of Eastern European foreign currency bond yields over benchmarks Jan. 1 1 Feb June Aug. 1 Dec. 17 Jan. Feb Aug Dec. Jan. 1 Hungary (1//1) Poland (1/Feb./1) Czech Republic (/June/1) Romania (1//1) 1 Notes: spreads of -year Eastern European foreign currency bond yields over the appropriate German benchmark yields basis 1 points Jan. 1 1 Feb June Aug. 1 Dec. 17 Jan. Feb Aug Dec. Jan. 1 Croatia (1//1) Latvia (//1) Lithuania (1/Feb./1) Ukraine (1//1 - right-hand scale) basis points 1 Notes: spreads of -year Eastern European foreign currency bond yields over the appropriate German benchmark yields Benchmark yield curves of Hungary, Poland, Italy and Germany Y 1M Y Y Y Y Y 7Y Y 9Y 1Y 1Y Y Y Hungary Mar 1 Poland Mar 1 Italy Mar 1 Germany Mar 1 Hungary Feb 1 Poland Feb 1 Italy Feb 1 Germany Feb

29 International and Regional Environment March 1 9. Spreads over year euro spot zero coupon yields Jan. 9 Jan. 7 Feb June 17 1 Aug Dec. 1 Jan. 1 9 Jan. Feb. 1 1 June 1 1 Aug. 1 Dec. 1 Dec. Jan. 11 Feb. 17 June 1 1 Aug. 9 7 Dec. Dec. 7 Jan. 1 Feb. HUF CZK PLN Notes: zero-coupon yields provided by Reuters. 7. year implied spreads over euro rates in year's time Jan. 9 Feb June Dec. Jan. 1 Feb June 1 Aug. 9 Dec. 7 Jan Feb Aug Dec. 7 Jan. 1 HUF CZK PLN Notes: based on swap rates provided by Reuters.

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

31 Inflation March 1 7. The CPI and the Core CPI 7. Developments in underlying inflation indicators Jan. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 - Jan/ Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/ Sep Jan/7 Sep Jan/ Sep Jan/9 Sep Jan/1 Sep Jan/11 Sep Jan/1 Range of underlying inflation indicators - Core Consumer Price Index Consumer Price Index 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. Weight - 11 Weight - 1 Dec-11 Jan-1 Feb-1 Consumer Price Index 1, 1,,1,,9 thereof 7. Decomposition of the Consumer Price Index Unprocessed food,9,1-1, -1, -1, Processed food 11, 11, 7,, 9, Manufactured goods,,7 1,,, Market services, 1,,,9, Non-regulated household energy, 1,,, 9, Alcohol, tobacco 9,,7,1,7 7, Gasoline prices, 7,7 1,9 1, 17, Regulated prices 19, 19,1,,,9 Core Consumer Price Index 7,,,,9, CPI without Tax Changes 1, 1,,,,9 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.

32 Inflation March 1 7. The HUF/EUR exchange rate and the analysts' expectations HUF/EUR HUF/EUR Jan. 1 June 1 Dec. Feb. 9 1 Aug. 7 Jan Dec June 7 Feb. 1 1 Aug. 1 Jan. 1 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, from June. The thin continuous line represents analysts' average exchange rate expectations according to the most recent Reuters CEE FX Poll. 77. The Brent crude oil price and market expectations USD/barrel 1 USD/barrel Jan Jan. Feb. 1 June 1 Feb. 9 June Jan. 7 1 Jan Jan Jan. 1 7 Jan Dec. 7 1 June Dec. 1 June 1 17 Dec. Historical Analysts' expectations* Futures** MNB technical assumption*** Source: Bloomberg, Consensus Economics. 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. 1

33 Inflation March 1 7. Monetary conditions Jan. Jan. 1 Jan. Jan. Jan. Jan. Jan. Jan. 7 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 1997 = 1; increase represents appreciation). 79. Fan chart of the inflation forecast Q1 9 Q1 1 Q1 11 Q1 1 Q1 1 Q1 1 Q1 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 per cent of the probability. The horizontal line shows the value of the announced inflation target.

34 Inflation March 1. Analysts' expectations for the inflation rate in 1,,,,,,,,,,,,,,,,,, 1, 1, 1, 1, Jan. 1 Feb. June Aug. Dec. Jan. 11 Feb. June Aug. Dec. Jan. 1 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,,,,,,,,,,,,,,,, 1, 1, 1, 1, Jan. 11 Feb. June Aug. Dec. Jan. 1 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.

35 Inflation March 1. The latest central projection of the MNB compared to other prognoses Consumer Price Index (annual average growth rate, ) MNB (December 11),, - Consensus Economics (March 1) , European Commission (February 1),1.1* - IMF (January 1),,7 - OECD ( 11),9,9 - Reuters survey (March 1) GDP (annual growth rate, ) MNB (December 11),1 1, - Consensus Economics (March 1) 1 (-1.) - (-.) , European Commission (February 1) * - IMF (January 1), 1, - OECD ( 11) -, Reuters survey (March 1) 1 (-1.) - (-.) Current account balance (percent of GDP) MNB (December 11),, - European Commission (November 11),, - IMF (January 1), 1,1 - OECD ( 11) 1, 1, - Budget deficit (ESA-9 method, percent of GDP) MNB (December 11).7,9 - Consensus Economics (March 1) European Commission (November 11).,7 - IMF (January 1),,7 - OECD ( 11)., - Reuters survey (March 1) Forecasts on the size of Hungary's export markets (annual growth rate, ) MNB (December 11),, - European Commission (November 11),,7 - IMF (September 11),,9 - OECD (November 11),, - Forecasts on the GDP growth rate of Hungary's trade partners (annual growth rate, ) MNB (December 11),9 1,9 - European Commission (February 1),.* - IMF (January 11),7 1, - OECD (November 11) 1,1, - 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. MNB calculations. The projections of the named institutions for trade partners are aggregated with the weights used in MNB s own external demand indicators. Some institutions do not publish forecasts for all trade partners. * Forecast of November 11. Sources: Eastern Europe Consensus Forecasts (Consensus Economics Inc. (London), March 1); European Commission Economic Forecast (February 1, November 11); IMF World Economic Outlook Database (January 1, September 11); IMF Country Report No. 1/1 (January 1); Reuters survey (March 1); OECD Economic Outlook No.9 (November 11).

36 External Balance March 1. Net financing capacity of the household sector , Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1-1 Net lending Net lending without pension fund's transfer Assets Assets without pension fund's transfer Liabilities Seasonally adjusted, as a percentage of GDP. Time series data displayed above are seasonally adjusted using direct alignment methodology therefore the difference of assets and liabilities is not necessarily equal to the seasonally adjusted value of net savings. In the first quater of 11 separate data points show households net lending and assets excluding the effect of the capital transfer due to withdrawals from private pension funds. Net lending including the effect of the capital transfer is percent of GDP.. Net financing capacity of the non-monetary corporate sector Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Notes: seasonally adjusted; as a percentage of GDP. net financing capacity liabilities assets -1

37 External Balance March 1. Net borrowing of the household sector HUF billions 1 HUF billions Jan. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 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 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Notes: annual growth rate. Export Import -

38 Domestic Business Cycle March 1 7. Annual GDP growth rate. Quarterly GDP growth rate,, 1, 1, 1, 1,,,,, -, -, -1, -1, , -1, - - -, -, -, -, - - -, -, - - -, -, Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Source: HCSO. Source: HCSO. Notes: annual growth rate. Notes: seasonally adjusted quarterly growth rate. 9. Fan chart of the GDP forecast Q1 9 Q1 1 Q1 11 Q1 1 Q1 1 Q1 1 Q1 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 per cent of the probability. 7

39 Domestic Business Cycle March 1 9. New dwelling trends 91. Developments in home prices 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 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1-1 Household consumption Gross fixed capital formation Source: HCSO. Notes: annual growth rates.

40 Domestic Business Cycle March 1 9. Industrial production and the output of the manufacturing sector Source: HCSO. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 Industrial production Notes: year-on-year volume indices of seasonally adjusted data. Manufacturing sector - 9. New orders in selected branches of the manufacturing sector Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 Source: HCSO, MNB. New domestic orders Notes: year-on-year volume indices of seasonally adjusted data. New export orders - 9

41 Domestic Business Cycle March 1 9. GKI household confidence index (reweighted) 9. Quarterly growth rates of automobile sales level level Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1-7 Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Automobile sales 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/) 97. Total volume of retail trade Jan. Jan. 1 Jan. Jan. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Total retail sales -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 Business Cycle March Creditworthiness standards and credit conditions in corporate sector H 9 Q Q Q H1 (forecast) H H1 H H1 H 7 H1 7 H H1 H 9 Q Q Q H1 (forecast) H H1 H H1 H 7 H1 7 H H1 H 9 Q Q Q H1 (forecast) Large and medium-sized 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 H1 H H1 H H1 H H1 H 7 H1 7 H H1 H 9 Q Q Q H1 (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 March 1 1. Wage growth in the manufacturing sector Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 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. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Average gross wage ex-bonus payments Average gross wage Source: HCSO, seasonally adjusted by NBH. Notes: annual growth rates.

44 Labour Market March 1 1. Wage growth in the private sector 1. Unit labour cost in the private sector Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Source: HCSO, seasonally adjusted by NBH. Notes: annual growth rates. Average gross wage ex-bonus payments Average gross wage - -1 Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Source: HCSO. Notes: seasonally adjusted, annualised quarterly growth rates Activity and unemployment thousand persons thousand persons Jan. 199 Jan Jan. Jan. 1 Jan. Jan. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 number of employed economically active unemployed (right-hand scale) Source: HCSO. Notes: levels, seasonally adjusted.

45 International and Regional Environment March year government benchmark yields in CEE countries 1. Budget deficit in the CEE countries Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Hungary Poland 1 1 Czech Republic Hungary (1-month average) Maastricht reference value Hungary Poland Czech Republic Source: Eurostat. Source: Consensus Economics November 11). Notes: as a percentage of GDP. In the case of Poland and the Czech Republic privatisation revenues are not included. 17. Harmonised Index of Consumer Prices Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Hungary Poland Czech Republic Maastricht reference value Hungary (1-month average) Source: Eurostat Notes: annual growth rate.

46 International and Regional Environment March 1 1. GDP growth rate in CEE Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 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 7 Q1 Q1 9 Q1 1 Q1 11 Q1 Hungary Poland Czech Republic Slovakia Source: Eurostat, MNB, CNB, NBP. Notes: seasonally adjusted, as a percentage of GDP.

47 International and Regional Environment March Business climate indices in the EMU 111. The annual growth rate of the volume of imported goods and services 11,, 11,, 11, 17, 1, 1, 1, 97,, 1, 1,,, , -, 9, -1, 9, 7,,,, 77, -1, -, -, -, -, , Jan. Jan. 1 Jan. Jan. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 -, - Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 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,,,, 1,,, 1, 1,, 1,,, -, -1,, -, -1, -1, -, -1, -, -, -, -, -, -, -, -, -, -, -, Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 Q1 EMU USA Japan Source: EUROSTAT. Notes: seasonally adjusted quarterly growth rates

48 Real Exchange Rates March ULC based real effective exchange rate of the HUF Q1 1 Q1 Q1 Q1 Q1 Q1 Q1 7 Q1 Q1 9 Q1 1 Q1 11 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. Jan. Jan. Jan. Jan. 7 Jan. Jan. 9 Jan. 1 Jan. 11 Jan. 1 Source: HCSO, MNB, ECB Notes: average of year = 1. CPI based PPI based 7

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