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Europe > Slovenia, Republic of

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models x
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Cover IMF Working Papers
Cross-Country Linkages in Europe: A Global VAR Analysis
Ms. Yan M Sun
,
Mr. Frigyes F Heinz
, and
Giang Ho
This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and the Central, Eastern and Southeastern European (CESEE) countries. An innovative feature of the paper is the use of combined trade and financial weights (based on BIS reporting banks’ external position data) to capture the very close trade and financial ties of the CESEE countries with the advanced Europe countries. The results show strong co-movements in output growth and interest rates but weaker linkages bewteen inflation and real credit growth within Europe. While the euro area is the dominant source of economic influences, there are also interesting subregional linkages, e.g. between the Nordic and the Baltic countries, and a small but notable impact of CESEE countries on the rest of the Europe.
Keywords:
WP; CESEE country; real GDP; Nordic country; country VAR; country sample; Spillover; Global VAR; regional model; macro-financial linkages; emerging Europe; VAR model; ith economy; growth rate; Credit; Vector autoregression; Inflation; Long term interest rates; Production growth; Baltics; Europe; Western Europe; Global
Cover IMF Working Papers
Exchange Rates in Central Europe: A Blessing or a Curse?
Louis Kuijs
and
Alain Borghijs
Central European accession countries (CECs) are currently considering when to adopt the euro. From the perspective of macroeconomic stabilization, the cost or benefit of giving up a flexible exchange rate depends on the types of asymmetric shocks hitting the economy and the ability of the exchange rate to act as a shock absorber. Economic theory suggests that flexible exchange rates are useful in absorbing asymmetric real shocks but unhelpful in the case of monetary and financial shocks. For five CECs-the Czech Republic, Hungary, Poland, the Slovak Republic, and Slovenia-empirical results on the basis of a structural VAR suggest that in the CECs the exchange rate appears to have served as much or more as an unhelpful propagator of monetary and financial shocks than as a useful absorber of real shocks.
Keywords:
WP; exchange rate; nominal exchange rate; nominal Exchange rate.; Exchange rates; structural VAR; accession; CECs; LM shock; IS shock; demand and supply shock; exchange rate movement; shock-absorbing capability; exchange rate variability; neutral shock; labor market shock; structural shock; Real exchange rates; Exchange rate flexibility; Exchange rate arrangements; Exchange rate adjustments; Europe