Konferencja:

The 10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena

Abstrakt EN:

The paper compares five Central European countries, i.e. Bulgaria, Hungary, Poland, Slovakia and Slovenia, through the lens of the reactions of their economies to economic and financial shocks. These countries are small open economies at a similar level of economic development and at the same time they have adopted different exchange rate regimes. This makes it possible to investigate whether the reactions of an economy to real and nominal shocks are indeed in line with the degree of exchange rate flexibility. The stochastic macroeconomic model of a small open economy is used to derive the long-term zero and sign restrictions. These are used to identify supply, demand, financial and monetary shocks within the Bayesian structural vector autoregression models with common serial correlations. For each economy a separate BSVAR model is estimated on quarterly data spanning from 1998 to 2013 for relative GDP, interest rate differential, real exchange rate and relative price level. Our findings lend some support to the hypothesis that the flexible exchange rate acts as a shock absorber: under the floating rate it is the exchange rate that reacts to real shocks rather than output, whereas under the fixed rate output responses are stronger. Moreover, the burden of adjustment to financial shocks in Hungary and Poland rests on the nominal exchange rate and on the relative price level and the real interest rate differential in Bulgaria and Slovakia. (original abstract)

Język:

eng