Characterising the Business Cycle for Accession Countries

Basher

Journal of Banking & Finance

2013

We examine the impact of the global financial crisis on the degree of international income and consumption risk-sharing among industrial economies using returns on cross-border portfolio holdings (e.g., debt, equity, FDI). We split the returns from the net foreign holdings as receipts (inflows) and payments (outflows) to investigate which of the two sides exhibited the greater resilience for income risk-sharing during the recent crisis. First, we find that debt delivered better risk-sharing than equity, mainly reflecting the deficit deterioration in EMU countries during the post-crisis period. FDI, by contrast, did not correspond to noticeable risk diversification. Second, separating output shocks into positive and negative components reveals that debt holding receipts (equity liability payments) performed better under negative (positive) realizations of the shock variable. Third, the unwinding of capital flows resulted in a sharp fall in income dis-smoothing via the debt liability channel in the new EU countries. JEL Codes: F36.Keywords: Financial crisis, international portfolio diversification, income smoothing. * We would like to thank an anonymous referee for constructive comments and Megan Foster for help with proofreading. The views expressed here are those of the authors and do not necessarily reflect the official view of the Qatar Central Bank. The errors that remain are solely ours.

Section: New Eu Memberssupporting

confidence: 46%

International income risk-sharing and the global financial crisis of 2008–2009

Basher

Journal of Banking & Finance

2013

“…However, only Hungary and Poland among the Visegrad countries reached high synchronization. Artis et al (2004) and Darvas and Szapáry (2008) obtained the same results studying correlations between the business cycles of the EU and Hungary and Poland. In another model, Jagrič (2002) also implies that the economic co-movement of Hungary and Poland is high.…”

supporting

confidence: 52%

“…Fidrmuc and Korhonen (2006) conduct a meta-analysis of 35 studies involving the synchronization of the EU and CEE 1 The Visegrad countries also joined the North Atlantic Treaty Organization in 1999 and applied for membership in the European Union in [1995][1996]. 2 The literature focusing on the evolution and determinants of business cycle synchronization between Central and Eastern European (CEE) countries and the EU is extensive, e.g., Darvas and Szapáry (2008); Artis et al (2004); Backus et al (1992). countries and find a high level of synchronization between new member states and the EU.…”

mentioning

confidence: 99%

Business Cycle Synchronization of the Visegrad Four and the European Union

Hanus

Vácha

2015

SSRN Journal

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: Terms of use: Documents inIn this paper, we map the process of synchronization of the Visegrad Four within the framework of the European Union using wavelet techniques. We show that the relationship of among countries is dynamic and that it varies over time and across frequencies. We study the synchronization applying the wavelet cohesion measure with time-varying weights. This novel approach allows us to study the dynamic relationship among countries from a different perspective than the usual timedomain models. Analyzing monthly data from 1990 to 2014, the results for the Visegrad region show an increasing co-movement with the European Union after the countries began preparing for accession to the European Union. Participation in a currency union possibly increases the co-movement. Furthermore, we find a high degree of synchronization in long-term horizons by analyzing the Visegrad Four and Southern European countries' synchronization with the core countries of the European Union.

Acta Univ. Agric. Silvic. Mendelianae Brun.

“…According to Artis, Marcellino and Proietti (2004) defi nition of the cycle and in the sense of the study Poměnková (2010b) calculation peak to peak cycle length in time domain was done. Results showed that in the Czech Republic only two cycles with the length of 16 and 29 quarters exists.…”

Section: Resultsmentioning

confidence: 99%

Comparison of methodological approaches to identify economic activity regularities in transition economy

Poměnková¹,

Kapounek²,

Mars̆álek³

2014

POMĚNKOVÁ, J., KAPOUNEK, S., MARŠÁLEK, R.: Comparison of methodological approaches to identify economic activity regularities in transition economy. Acta univ. agric. et silvic. Mendel. Brun., 2011, LIX, No. 7, pp. 283-292 Presented paper focuses on consideration and evaluation of methodical approaches to analyze cyclical structure character of economic activity in transition economy. As a starting point, work in time domain is applied, which is followed in frequency domain approach. Both approaches are viewed from methodical as well as application point of view and their advantage and disadvantage are discussed. Consequently, time-frequency domain approach is added and applied on real data. On the basis of obtained results recommendation is formulated. All discussed methodical approaches are also considered from the perspective of capability to evaluate behaving of business cycle in time of global economic crisis before/a er year 2008. The empirical part of the paper deals with data of gross domestic product in the Czech Republic in 1996/Q1-2010/Q2. cyclical structure, time domain, frequency domain, time-frequency domain, business cycleThe issue of modeling the economic cycle is the most important for the stabilizing function of economic policy. Identifi cation of the diff erent phases of cyclical fl uctuations in economic activity, including the turning points is crucial not only for implementation of monetary and fi scal policy at the level of national economies, but also in the broader context of economic integration process, especially from the perspective of the theory of optimum currency areas (the OCA). The rate of accuracy of identifi cation of cyclical fl uctuations in economic activity, including the turning points increases the monetary and fi scal policy implementation effi ciency, especially symmetric and asymmetric shocks identifi cation for optimal monetary and fi scal interactions across the Eurozone. This topic is at the forefront of economists' interests especially in the context of joining euro and monetary policy effi cacy.As Fidrmuc and Korhonen (2006) showed in their meta-analysis, there are several diff erent approaches for measuring the synchronization of economic cycles or their movements which provides diff erent results. Consequently, the key question is based on the economic cycle defi nition.The rational explanation for cyclical movements in economic activity may be found in shi ing demand and supply curves. This process leads to wage, investments and technology diff erentials between the sectors in the economy. The economic agents want to achieve high profi t at low risk. They are constantly seeking profi t which appears. Therefore the agents diversifi ed their investments according to their expectations. This process is persistent in market economies and helps the optimal sources effi ciency. Transition economies, which include the Czech Republic, changed from the centrally planned economies to the free market economies. These economies have undergone economic