Browsing by Subject "IVY"

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  • Korhonen, Iikka; Wachtel, Paul (2005)
    BOFIT Discussion Papers 2/2005
    Published in Research in International Business and Finance Vol. 20, No. 2 (2006), pp. 215-226
    We assess the extent and speed of exchange rate pass-through in the countries of the Commonwealth of Independent States (CIS).We do this in the framework of vector autoregressive regressions, utilising impulse functions and variance decompositions with monthly data that starts in 1999 in order to avoid periods of very high inflation and the Russian crisis.We find that exchange rate movements have a clear impact on price developments in the CIS countries.The speed of the pass-through is also fairly high: in most cases the full effect is transmitted into domestic prices in less than 12 months.Unlike in many other emerging market economies, an additional effect from US prices on to domestic prices is not significant.The extent of the exchange rate pass-through is usually much higher than in our benchmark group of emerging market countries.Variance decomposition shows that the relative share of exchange rates in explaining changes in domestic prices is higher in the CIS countries than in the benchmark group. Our results indicate that policy-makers in the CIS countries need to pay more attention to exchange rate movements than in many other emerging market countries.Key words: exchange rate pass-through, inflation, exchange rate regime, transition countries JEL: E31, E42, F31, F42
  • Hirvensalo, Inkeri (1993)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 2/1993
  • Égert, Balázs (2009)
    BOFIT Discussion Papers 4/2009
    This study seeks to determine the extent to which countries of the former Soviet Union are "infected" by the Dutch Disease. We take a detailed look at the functioning of the trans-mission mechanism of the Dutch Disease, i.e. the chains that run from commodity prices to real output in manufacturing. We complement this with two econometric exercises. First, we estimate nominal and real exchange rate models to see whether commodity prices are correlated with the exchange rate. Second, we run growth equations to analyse the possible effects of commodity prices and the dependency of economic growth on natural resources. Key words: Dutch disease, commodity prices, exchange rate, Commonwealth of Independent States. JEL Codes: E31, E32, F31, Q33
  • Korhonen, Iikka; Juurikkala, Tuuli (2007)
    BOFIT Discussion Papers 8/2007
    Published in Journal of Economics and Finance, Volume 33, 1/2009, pp. 71-79
    We assess the determinants of equilibrium real exchange rates in a sample of oil-dependent countries.Our basic data cover OPEC countries from 1975 to 2005.We also include three oil-producing Commonwealth of Independent States (CIS) countries in our robustness analysis.Utilising several estimation techniques, including pooled mean group and mean group estimators, we find that the price of oil has a clear, statistically significant effect on real exchange rates in our group of oil-producing countries.Higher oil price lead to appreciation of the real exchange rate. Elasticity of the real exchange rate with respect to the oil price is typically between 0.4 and 0.5, but may be larger depending on the specification.Real per capita GDP, on the other hand, does not appear to have a clear effect on real exchange rate.This latter result contrasts starkly with the consensus view of real exchange rates determinants, emphasising the unique position of oil-dependent countries.Key words: equilibrium exchange rate, pooled mean group estimator, resource dependency JEL codes: F31, F41, P24, Q43
  • Komulainen, Tuomas (2004)
    Bank of Finland studies. E 29
    The financial crises in emerging markets in 1997-1999 were preceded by financial liberalisation, rapid surges in capital inflows, increased levels of indebtedness, and then sudden capital outflows. The study contains four essays that extend the different generations of crisis literature and analyse the role of capital movements and borrowing in the recent crises. Essay 1 extends the first generation models of currency crises.It analyses bond financing of fiscal deficits in domestic and foreign currency, and compares the timing and magnitude of attack with the basic case where deficits are monetised.The essay finds that bond financing may not delay the crisis.But if the country's indebtedness is low, the crisis is delayed by bond financing, especially if the borrowing is carried out with bonds denominated in foreign currency. Essay 2 extends the second generation model of currency crises by adding capital flows.If these depend negatively on crisis probability, there will be multiple equilibria.The range of country fundamentals for which self-fulfilling crises are possible is wider when capital flows are included, and thus more countries may end up in crisis.An application of the model shows that in 1996 in many emerging economies the fundamentals were inside the range of multiple equilibria and hence self-fulfilling crises were possible. Essay 3 studies financial contagion and develops a model of the international financial system.It uses a basic model of financial intermediation, but adds several local banks and an international bank.These banks are able to use outside borrowing, the amount of which is determined by the value of their collateral.The essay finds that the use of leverage by local and global banks and the fall in collateral prices comprise an important channel and reason for contagion. Essay 4 analyses the causes of financial crises in 31 emerging market countries in 1980.2001.A probit model is estimated using 23 macroeconomic and financial sector indicators.The essay finds that traditional variables (eg unemployment and inflation) and several indicators of indebtedness (eg private sector liabilities and banks. foreign liabilities) explain currency crises.When the sample was divided into pre- and post-liberalisation periods, the indicators of indebtedness became more important in predicting crisis in the post-liberalisation period. Key words: currency crises, banking crises, emerging markets, borrowing, collateral, contagion, liberalisation
  • Suomen Pankki; Bank of Finland; Siirtymätalouksien tutkimuslaitos (BOFIT); Institute for Economies in Transition (BOFIT) (1999)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 1/1999
  • Harell, Timo; Kuusela, Timo; Rytilä, Tuula; Saajasto, Tiina; Svanborg, Jyri (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 7/1992
  • Harell, Timo; Kuusela, Timo; Saajasto, Tiina (1993)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 1/1993
  • Harell, Timo; Saajasto, Tiina (1994)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 2/1994
  • Harell, Timo; Kero, Jukka; Kuusela, Timo; Laakkonen, Elisa; Määttä, Päivi; Saajasto, Tiina; Svanborg, Jyri; Tekoniemi, Merja (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 6/1992
  • Harell, Timo; Määttä, Päivi; Saajasto, Tiina; Svanborg, Jyri; Tekoniemi, Merja (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 2/1992
  • Harell, Timo; Kuusela, Timo; Määttä, Päivi; Saajasto, Tiina (1993)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 5/1993
  • Harell, Timo; Kuusela, Timo; Laakkonen, Elisa; Saajasto, Tiina; Svanborg, Jyri; Tekoniemi, Merja (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 4/1992
  • Suomen Pankki; Siirtymätalouksien tutkimuslaitos (BOFIT) (2000)
    Idäntalouksien viikko
  • Suomen Pankki; Harell, Timo; Siirtymätalouksien tutkimuslaitos (BOFIT) (2001)
    Idäntalouksien viikko
  • Suomen Pankki; Harell, Timo; Siirtymätalouksien tutkimuslaitos (BOFIT) (2002)
    Idäntalouksien viikko
  • Suomen Pankki; Harell, Timo; Siirtymätalouksien tutkimuslaitos (BOFIT) (2003)
    Idäntalouksien viikko
  • Suomen Pankki; Harell, Timo; Siirtymätalouksien tutkimuslaitos (BOFIT) (2004)
    Idäntalouksien viikko
  • Tekoniemi, Merja (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 6/1992
  • Tekoniemi, Merja (1992)
    IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION 4/1992