Browsing by Subject "Unkari"

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  • Jokipii, Terhi; Lucey, Brian (2006)
    Bank of Finland Research Discussion Papers 15/2006
    Published in Economic Systems, 31,1, 2007: 71-96
    Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to Hungary during this time, but all other cross-market co-movements are rather attributable rather to strong cross-market linkages. In addition, we construct a set of dummy variables to try to capture the impact of macroeconomic news on these markets. Controlling for own-country fundamentals, we discover that the correlations diminish between the Czech Republic and Poland, but that coefficients for all pairs remain substantial and significant. Finally, we address the problem of simultaneous equations, omitted variables and heteroskedasticity, and adjust our data accordingly. We confirm our previous findings. Our tests provide evidence in favour of parameter instability, again signifying the existence of contagion arising from problems in the Czech Republic affecting Hungary during much of 1996.
  • Bonin, John; Wachtel, Paul (2004)
    BOFIT Discussion Papers 22/2004
    Published in Systemic Financial Crises: Resolving Large Bank Insolvencies, D. Evanoff, G. Kaufman, eds., World Publishing, 2005
    We examine the efforts of transition economies to deal with financial fragility and resolve banking cries We characterize the birthing process of banking in transition and the three essential features of banking crises in transition economies: (i) bad loans and the relationship to state owned industries, (ii) development of institutional infrastructure and (iii) credible commitments to resolution and privatization.We then discuss the experiences of seven important transition countries in order to identify the salient features of their efforts to resolve banking crises.
  • Hasan, Iftekhar; Marton, Katherin (2000)
    BOFIT Discussion Papers 7/2000
    Published in Journal of Banking & Finance vol 27, no 12 (2003), pp. 2249-2271
    The paper analyzes the experiences and developments of Hungarian banking sector during the transitional process from a centralized economy to a market-oriented system.The paper identifies that early reorganization initiatives, flexible approaches to privatization, and liberal policies towards foreign banks involvement with the domestic institutions helped to build a relatively strong and increasingly efficient banking system.Banks with higher foreign bank ownership involvement were associated with lower inefficiency.
  • Égert, Balázs; Lommatzsch, Kirsten (2004)
    BOFIT Discussion Papers 9/2004
    This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Po-land, Slovakia and Slovenia.A theoretical model is developed that provides an explanation for the ap-preciation of the real exchange rate based on tradable prices in the acceding countries.Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model.With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions.This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments. Keywords: Real exchange rate, equilibrium exchange rate, tradable prices, transition, cointegration JEL: F31
  • Mehrotra, Aaron; Slacik, Tomás (2009)
    BOFIT Discussion Papers 18/2009
    We evaluate the monetary determinants of inflation in the Czech Republic, Hungary, Poland and Slovakia by using the McCallum rule for money supply. The deviation of actual money growth from the rule is included in the estimation of Phillips curves for the four economies by Bayesian model averaging. We find that money provides information about price developments over a horizon of ten quarters ahead, albeit the estimates are in most cases rather imprecise. Moreover, the effect of excessive monetary growth on inflation is mixed: It is positive for Poland and Slovakia, but negative for the Czech Republic and Hungary. Nevertheless, these results suggest that money does provide information about future inflation and that a McCallum rule could potentially be used in the future as an additional indicator of the monetary policy stance once the precision of the estimation improves with more data available.
  • Habib, Maurizio Michael (2002)
    BOFIT Discussion Papers 7/2002
    This paper studies the impact of external factors on daily exchange rates and short-term interest rates in the Czech Republic, Hungary and Poland during the period August 1997 - May 2001.Ind that neither exchange rates nor interest rates are influenced by short-term German interest rates.Nevertheless, 1 show that shocks to emerging-market risk premia had a significant impact on exchange rates in all three Central and Eastern European countries and on interest rates in the Czech Republic.In addition, studying the second moment of the variables, 1 demonstrate that Czech and Polish exchange rates were affected by 'volatility contagion' coming from emerging markets. 1 find also some partial support for the 'volatility contagion' hypothesis on Czech interest rates.These findings shed some doubts on the alleged theoretical ability of a floating exchange rate - such as in the Czech Republic - to absorb external shocks and insulate a country's domestic monetary policy completely.However, the spill-over effect on Czech interest rates might be explained by the 'managed' nature of the exchange rate regime, thereby re-establishing some credibility of the theory. Key words: exchange rates, short-term interest rates, volatility, Czech Republic, Hungary, Poland
  • Jokipii, Terhi (2006)
    Bank of Finland Research Discussion Papers 22/2006
    This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and pooled specifications to find that market crashes, in the broader sense, are predictable for all countries analysed.We additionally investigate the role that investor heterogeneity, proxied by trading volume, plays in this predictability and find some varying results between countries.For the Central and Eastern European Countries (CE3), an increase in trading volume relative to trend appears to have great predictive power, a result that is supportive of the theory of investor heterogeneity outlined in the relevant background studies. For the more mature markets (G5), on the other hand, market crashes appear more likely to follow a period of increased stock prices and returns, a result fitting a number of traditional theories, in particular the stochastic bubble model.Further analysis, allowing for time-varying coefficients, confirms the volume-crash relationship for the CE3 and provides preliminary evidence that macro news releases may additionally contribute to the predictability of market crashes. Keywords: aggregate market returns, skewness, trading volume, market crash JEL classification numbers: C14, G12, G15
  • Alexashenko, Sergey (1992)
  • Oblath, Gabor (1993)
  • Égert, Balázs (2002)
    BOFIT Discussion Papers 6/2002
    Published in Economics of Transition vol 10, no 2 (2002), pp. 273-309
    This paper studies the Balassa-Samuelson effect in the Czech Republic, Hungary, Poland, Slovakia and Slovenia.Time series and panel co-integration techniques are used to show that the BS effect works reasonably well in these transition economies during the period 1991:Ql to 2001:Q2.However, productivity growth does not fully translate into price increases due to the structure of CPI indexes.We thus argue that productivity growth will not hinder the ability of the five EU accession candidates to meet the Maastricht criterion on inflation in the medium term.Moreover, the observed appreciation of the CPI-deflated real exchange rate is found to be systematically higher compared to the real appreciation justified by the Balassa-Samuelson effect, particularly in the cases of the Czech Republic and Slovakia.This may be partly explained by the trend appreciation of the tradable-goodsprice-based real exchange rate, increases in non-tradable sector prices due to price liberalisation and demand-side pressures, and the evolution of the nominal exchange rate due to the exchange rate regime and magnitude of capital inflows.
  • Kivilahti, Terhi; Svanborg, Jyri; Tekoniemi, Merja (1992)
    Bank of Finland Research Discussion Papers 12/1992
    Itä-Euroopan entiset keskusjohtoiset suunnitelmatalousmaat ovat siirtymässä kohti markkinataloutta ja pyrkivät samalla integroitumaan aikaisempaa huomattavasti laajemmin maailmantalouteen. Siirtymää haittaavat monet suunnitelmatalouksien erityispiirteet, jotka näkyivät etenkin ulkomaankaupan eristämisenä kotimaantaloudesta, rahan suppeana merkityksenä, valuutan vaihtokelpoisuuden puutteena sekä epärationaalisena hintajärjestelmänä. Epäkohdat ovat nousseet esiin keskinäisen avun järjestön SEVin lakattua toimimasta vuoden 1991 alkupuolella, mikä on johtanut entisten jäsenmaiden kaupan ja kokonaistuotannon voimakkaaseen supistumiseen. Kaupan elvyttämiseksi on suunniteltu Euroopan jälleenrakennuskauden maksu-unionin kaltaisia järjestelyjä. Valuutan vaihdettavuus ei ole päämäärä sinänsä, vaan nimenomaan sen talouteen tuoma positiivinen vaikutus. Tämä ilmenee parhaimmillaan kiristyneen kilpailun mukanaan tuomana tehokkuutena, hintasuhteiden korjaantumisena sekä ulkomaisten investointien, osaamisen ja teknologian maahantuontina. Valuutalla voi olla monen laajuista vaihdettavuutta: hyödykevaihdettavuutta, sisäistä tai ulkoista vaihdettavuutta sekä vaihdettavuutta ulkomaisten taloussuhteiden eri toimien osalta. Radikaalin siirtymäpolitiikan tavoitteena on rahatalouden tasapainottaminen, kun taas maltillisempi, asteittainen ohjelma korostaa rakenteellisia uudistuksia. Suuri osa entisen Neuvostoliiton ja mahdollisesti myös itäisen Keski-Euroopan maiden teollisuuslaitoksista saattaa olla ns. arvonvähentäjiä, eli ne ovat tappiollisia kaikilla valuuttakursseilla. Tällä tarkoitetaan sitä, että yrityksen tuottaman hyödykkeen bruttoarvo maailmanmarkkinahinnoissa on materiaalikustannuksia pienempi. Puola, Unkari ja Tsekkoslovakia ottivat sisäisesti vaihdettavat valuutat käyttöön vasta 1990-luvulla. Radikaali uudistusohjelma teki Puolan kaupan ja palveluiden ulkomaanmaksuista vaihdettavia. Neuvostoliiton hajoaminen itsenäisiksi tasavalloiksi on nostanut esiin kysymyksen kunkin tasavallan mahdollisesta kansallisesta valuutasta ja niiden vaihdettavuudesta. Ruplan käytöstä on alustavasti sovittu joidenkin tasavaltojen välisenä yhteisenä rahana, mutta omien valuuttojen käyttöä ei ole pois suljettu. Ruplan vaihdettavuudesta on esitetty monenlaisia suunnitelmia, mutta laajaa vaihdettavuutta tuskin voidaan taloudellisin perustein nopeasti toteuttaa.
  • Oblath, Gabor (1993)
  • Leinonen, Harry (2009)
    Suomen Pankki. E 42
    This publication consists of ten separate studies on payment and settlement systems employing simulation techniques. Most of these were carried out using the payment and settlement system simulator BoF-PSS2 provided by the Bank of Finland. The preliminary versions were presented at the annual simulator seminars arranged by the Bank in 2007 and 2008. The main focus of the analyses is on continuity arrangements, operational stability, liquidity requirements, liquidity economising, gridlock resolution, transaction queuing arrangements, network features and network topologies. The studies examine systems in several countries and cover different kinds of payment systems and regimes.
  • Winiecki, Jan (2001)
    BOFIT Discussion Papers 12/2001
    Published in Problems of Economic Transition vol 45, no 11 (2003), pp. 6-38
    The central theme of this paper is the role of the new, entrepreneurial private sector, established after the fall of communism, in output recovery, and, more generally, in economic expansion of post-communist economies.This role is considered specifically in the context of the successes in Poland, the Czech Republic, and Hungary.The author notes a substantial difference between the performance of the new private sector and the privatized sector in the short to medium run (3-7 years) from the start of privatization.New private firms typically enter the economic game with well-established de jure and de facto property rights and with industrial relations based on market economy rules. Unlike the public sector or privatized firms, the labor force of these firms is not demoralized by the change to market-economy rules.As a result, they often perform better and are quick to increasing their share of aggregate output.This also helps the economy as a whole emerge earlier from transitional recession.The author discusses two hypothetical paths of recovery and expansion; one with and one without a dynamic new private sector.The determinants for establishing and growth of new private firms are considered.In addition to the specific rules and general framework of transition, the study concludes that broad institutional fundamentals of political liberty, law and order, and trust contribute to the successful emergence of this new entrepreneurial sector.Key words: new private sector, transition, growth, Poland
  • Kaitila, Ville (1999)
    BOFIT Discussion Papers 8/1999
    This study analyses the trade of Hungary and the Czech Republic with the European Union in 1997.After a general introduction, the focus turns to the extent of intra-industry trade (IIT) and its horizontal and vertical components.The extent of IIT is also analysed in light of the flows of foreign direct investment (FDI) from the European Union to Hungary and the Czech Republic.This is followed by an analysis of revealed comparative advantage (RCA) in trade between the EU and the two Central European countries.The CN4-digit trade data is divided into two groups according to whether a country enjoys a revealed comparative advantage in a given market area or not.Statistical tests are performed to determine the extent to which the RCA structures of each pair of countries are dependent.The analysis also takes into account the volumes of trade flows. Keywords: revealed comparative advantage, intra-industry trade, Hungary, Czech Republic, EU
  • Fedorova, Elena (2011)
    BOFIT Discussion Papers 24/2011
    With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated financial systems. The present study focuses on the contagion effects at Eastern European stock markets and changes in their interconnections after EU accession in 2004. Specifically, we investigate the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 1998-2009 and their exposure to on-shored financial risk. The evidence suggests direct linkages between different stock market sectors with respect to returns and volatilities with increased equity-shock transmission between markets after EU accession in 2004. Of particular note is the intra-industry contagion in emerging Europe. Our findings have implications for asset pricing and portfolio selection for international financial institutions and financial managers.
  • Korhonen, Iikka; Peresetsky, Anatoly (2013)
    BOFIT Discussion Papers 4/2013
    Published in Emerging Markets Finance and Trade, Volume 52, Issue 5, 2016: 1210-1225 as "What Influences Stock Market Behavior in Russia and Other Emerging Countries?"
    We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. A TGARCH-BEKK model is employed to assess the degree of correlation between markets, taking into account the global market stochastic trend. We find that correlation between markets increased between 2000 and 2012. Growth was especially high in Eastern European markets during 2004-2006, which is likely connected with the EU accession of these countries in 2004. Key words: Russian stock market, oil, financial market integration, stock market returns, news, emerging markets, transition economies. JEL: G10, G14, G15, C5.
  • Lainela, Seija; Sutela, Pekka (1991)
    Bank of Finland Research Discussion Papers 9/1991
    Tämä raportti tarkastelee yksityistämisen asemaa siirtymässä sosialistisesta suunnitelmataloudesta kohti markkinataloutta. Se koostuu kolmesta osasta. Ensiksi tarkastellaan omistusoikeuksien luonnetta ja markkinatalousmaissa saatuja yksityistämiskokemuksia alan läntisen kirjallisuuden valossa. Toisessa osassa valotetaan niitä periaatevalintoja, jotka kohdataan siirtymäpolitiikkaan kuuluvassa yksityistämisessä. Lopulta kuvataan yksityistämisen nykytilannetta Puolassa, Unkarissa ja Tsekkoslovakiassa sekä lyhyesti yksityistämisestä Neuvostoliitossa käytyä keskustelua. Raportin tarkoituksena on antaa perusteet sen ymmärtämiselle, miksi yksityistämistä pidetään itäisessä Euroopassa siirtymäpolitiikan ytimenä.