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This paper presents a Structural Vector Autoregressive (SVAR) model with particular attention to the Hungarian labour market. The identification of structural shocks is based on sign restrictions. We identify four structural shocks: a... more
This paper presents a Structural Vector Autoregressive (SVAR) model with particular attention to the Hungarian labour market. The identification of structural shocks is based on sign restrictions. We identify four structural shocks: a labour supply, an aggregate supply, an aggregate demand and a monetary policy shock. It is worth emphasising that a negative labour supply shock cannot be distinguished from
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This paper explores the major determinants of the exchange rate pass-through to CPI. The simulations were performed with the Bank's estimated Hungarian block linked to the NIGEM model of the National Institute of Economic and Social... more
This paper explores the major determinants of the exchange rate pass-through to CPI. The simulations were performed with the Bank's estimated Hungarian block linked to the NIGEM model of the National Institute of Economic and Social Research (NIESR). The modelling framework offers some insight into the role of different markets in the price-exchange rate relationship. The paper gives an analysis of the relative importance of expectations, goods and labour market parameters. Our results show that the contribution of goods and labour market parameters to explaining the economy-wide exchange rate pass-through changes over time. While goods market adjustment is significant from the start of an exchange rate shock, the labour market starts to gain importance only from year three and onwards. More specifically, the effect of mark-up adjustment prevails over the whole horizon, which indicates that it is the most significant channel in exchange rate pass-through. The slow appearance of...
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Japan has ambitious economic goals: 3 percent nominal growth; 2 percent inflation; and a primary budget surplus. Abenomics has employed the three arrows of monetary, fiscal and structural policies, but the goals remain out of reach. We... more
Japan has ambitious economic goals: 3 percent nominal growth; 2 percent inflation; and a primary budget surplus. Abenomics has employed the three arrows of monetary, fiscal and structural policies, but the goals remain out of reach. We propose that countercyclical measures be embedded in long-run frameworks that anchor expectations for inflation and public debt. In addition, we argue for an incomes policy to assist reflation. Model simulations suggest that, combined, these proposals would make headway towards the goals, with, on balance, a better chance of success than the more unconventional policy alternatives proposed by Krugman, Svensson, and Turner from a risk-return perspective. JEL Classification Numbers: E31; E39; E52; E62; E64
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Research Interests: Eastern Europe, International Trade, Foreign Direct Investment, Comparative Economics, Czech Republic, and 9 moreGravity Equation, South east Asia, Gravity Model, Trade Integration, Central and Eastern European Studies, Error Correction Model, Speed of Convergence, Central and Eastern European countries, and Probit Model
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Research Interests: Econometrics, Eastern Europe, Applied Economics, Monetary Policy, Transition, and 13 moreEuro Area, House Prices, Empirical Study, Exchange rate, Credit channel, Betweenness Centrality, Interest Rate, Commercial Banks, Capital Market, Transmission Mechanism, Exchange Rate Pass-through, Asset Prices, and Interest rate pass-through
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We examine the development of potential and actual trade in the Czech Republic, Hungary, and Poland, using the gravity model for trade as an analytical device. However, recent literature indicates that the point estimates of the gravity... more
We examine the development of potential and actual trade in the Czech Republic, Hungary, and Poland, using the gravity model for trade as an analytical device. However, recent literature indicates that the point estimates of the gravity equation for estimating trade potential are highly uncertain. Hence we base our conclusions on the concept of speed of convergence to potential trade. Examining only the dynamics of actual and potential trade is less dependent on the estimation methodology. Using panel error-correction models we find significant convergence to the estimated potential trade. We also give an explanation for the differences in the speed of convergence among the three countries based on the product-structure of exports and the effects of foreign direct investment. The conclusions drawn from our measure of the speed of convergence are robust across diverse estimation methodologies. J. Comp. Econ., June 2001 29(2), pp. 276–292. Economics and Research Department, National Bank of Hungary, H-1850, Budapest, Szabadság tér 8/9, Hungary. Copyright 2001 Academic Press.Journal of Economic Literature Classification Numbers: C21, C23, C50, F10, F11, F12, F15.
Research Interests: Eastern Europe, International Trade, Foreign Direct Investment, Comparative Economics, Czech Republic, and 9 moreGravity Equation, South east Asia, Gravity Model, Trade Integration, Central and Eastern European Studies, Error Correction Model, Speed of Convergence, Central and Eastern European countries, and Probit Model
Research Interests: Eastern Europe, International Trade, Foreign Direct Investment, Comparative Economics, Czech Republic, and 9 moreGravity Equation, South east Asia, Gravity Model, Trade Integration, Central and Eastern European Studies, Error Correction Model, Speed of Convergence, Central and Eastern European countries, and Probit Model
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We review the experience of Hungary with the preannounced crawling band exchange rate system during 1995–97. When selecting the exchange rate regime, several key characteristics of the transition process must be taken into account:... more
We review the experience of Hungary with the preannounced crawling band exchange rate system during 1995–97. When selecting the exchange rate regime, several key characteristics of the transition process must be taken into account: reform-induced inflationary pressure, the necessity to restructure production and exports, and the need to establish credibility. We argue against a premature fixing of the exchange rate in transition economies and suggest that a crawling band can serve well the dual objectives of maintaining competitiveness and moderating inflation if it is supported by appropriate fiscal and structural policies. The exchange rate can be used more actively for disinflation if an acceptable wage policy can be negotiated, but this is difficult to achieve in the initial phase of the transition when the credibility of policy is weak.J. Comp. Econom.,December 1998, 26(4), pp. 691–717. National Bank of Hungary, Szabadság tér 8-9, H-1054 Budapest, Hungary.