|
on Transition Economics |
| By: | Margaret Maurer-Fazio,; James W. Hughes; Dandan Zhang |
| Abstract: | Previous research suggests that minorities are not faring well in China’s transition—both income and occupational attainment gaps are widening. We are particularly interested in whether the differences in majority and minority economic outcomes are the result of ethnicity per se, or whether they are artifacts of local economic conditions. In this paper, we employ data from the three most recent population censuses of China to explore differences in the labor force participation rates of a number of China’s important ethnic groups. We estimate urban labor force participation rates using probit regressions controlling for sex, marital status, educational attainment, age, ethnicity, and location. We also account for the geographic concentration of particular ethnic minorities and compare the participation rates of different ethnic groups within geographic regions that represent the areas of principal residence for each minority. We concentrate on seven important minority groups: Hui, Koreans, Manchu, Mongolians, Uygurs, Yi and Zhuang. We find that location has limited explanatory power in explaining differences in the probability of labor force participation between these important Chinese ethnic minorities and the majority Han. |
| Keywords: | China, ethnic minorities, labor force participation, economic reform, population censuses |
| JEL: | J1 J2 J7 O1 O5 P2 |
| Date: | 2005–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-795&r=tra |
| By: | William Pyle; ; |
| Abstract: | Drawing on a unique set of surveys, this article explores the question of whether Russia’s post-communist business associations are generally antithetical to or supportive of the broad objectives of economic restructuring. Contrary to the most widely cited analysis as to the purposes of collective action in the business community, the survey evidence demonstrates that association members have embraced market-adapting behaviors at greater rates than nonmembers. The responses of both firms and associations, moreover, suggest that the associations themselves may, at least in part, be directly responsible. These findings point to the conclusion that in contemporary Russia the net returns to collective action in support of market development are high relative to those for purposes that are less benign. |
| Keywords: | business associations, collective action, post-communist transition, and market institutions |
| JEL: | D7 L2 L3 O1 P2 |
| Date: | 2005–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-794&r=tra |
| By: | Balázs Égert; ; |
| Abstract: | This paper investigates the importance of the Balassa-Samuelson effect for two acceding countries (Bulgaria and Romania), two accession countries (Croatia and Turkey) and two CIS countries (Russia and Ukraine). The paper first studies the basic assumptions of the Balassa-Samuelson effect using yearly data, and then undertakes an econometric analysis of the assumptions on the basis of monthly data. The results suggest that for most of the countries, there is either amplification or attenuation, implying that any increase in the open sector’s productivity feeds onto changes in the relative price of non-tradables either imperfectly or in an over-proportionate manner. With these results as a background, the size of the Balassa-Samuelson effect is derived. For this purpose, a number of different sectoral classification schemes are used to group sectors into open and closed sectors, which makes a difference for some of the countries. The Balassa-Samuelson effect is found to play only a limited role for inflation and real exchange rate determination, and it seems to be roughly in line with earlier findings for the eight new EU member states of Central and Eastern Europe. |
| Keywords: | Balassa-Samuelson effect, productivity, inflation, real exchange rate, transition, South Eastern Europe, CIS, Turkey |
| JEL: | E31 O11 P17 |
| Date: | 2005–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-796&r=tra |
| By: | David M. Kemme; Saktinil Roy; |
| Abstract: | A model of the long run equilibrium real exchange rate based upon macroeconomic fundamentals is employed to calculate real exchange rate misalignments for Poland and Russia during the 1990s using the Beveridge and Nelson (1981) decomposition of macrofundamentals into transitory and permanent components. Short run movements of the real exchange rate are estimated with ARIMA and GARCH error correction specifications. The different nominal exchange rate regimes of the two countries generate different levels of misalignment and different responses to exogenous shocks. The average misalignment in Russia is substantially greater than that in Poland, indicating incipient pressures to devalue the ruble immediately preceding the August 1998 crisis. The half life of an exogenous shock is found to be much shorter for Poland than for Russia in the pre-crisis period. Dynamic forecasts indicate that the movements of the real exchange rate in the post-crisis period are significantly different from those in the pre-crisis period. Thus, the currency crisis in Russia could not be anticipated with the movements of the real exchange rate estimated with the macroeconomic fundamentals. |
| Keywords: | Russia, Poland, equilibrium real exchange rates, misalignment, cointegration, exogenous shocks, macroeconomic crises |
| JEL: | F31 F36 P17 |
| Date: | 2005–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-797&r=tra |
| By: | Balazs Egert; Lubos Komarek |
| Abstract: | This paper studies the impact of daily official foreign exchange interventions on the Czech koruna's exchange rate vis-a-vis the euro (the German mark prior to 1999) from 1997 to 2002. Both the event study methodology, extended with official interest rate moves, and a variety of GARCH models reveal that central bank interventions, especially koruna purchases, seem to have been relatively ineffective from 1997 to mid-1998 compared to the size of the interventions. From mid-1998 to 2002, however, koruna sales turn out to be effective in smoothing the path of the exchange rate up to 60 days. Nevertheless, the event study approach indicates that the success of FX interventions may be intimately related to the coordination of intervention and interest rate policies. |
| Keywords: | Central bank intervention, Czech Republic, event study, foreign exchange intervention, GARCH, interest rate policy, transition economies. |
| JEL: | F31 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/07&r=tra |
| By: | Robert Dekle; Guillaume Vandenbroucke |
| Abstract: | Between 1978 and 2003 the Chinese economy experienced a remarkable 5.7 percent annual growth of GDP per labor. At the same time, there has been a noticeable transformation of the economy: the share of workers in agriculture decreased from over 70 percent to less than 50 percent. We distinguish three sectors: private agriculture and nonagriculture and public nonagriculture. A growth accounting exercise reveals that the main source of growth was TFP in the private nonagricultural sector. The reallocation of labor from agriculture to nonagriculture accounted for 1.9 percent out of the 5.7 percent growth in output per labor. The reallocation of labor from the public to the private sector also accounted for a significant part of growth in the 1996- 2003 period. We calibrate a general equilibrium model where the driving forces are public investment and employment, as well as sectorial TFP derived from our growth accounting exercise. The model tracks the historical employment share of agriculture and the labor productivities of all three sectors quite well. |
| Keywords: | China, structural transformation, growth |
| JEL: | O41 O53 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:scp:wpaper:06-51&r=tra |
| By: | Balázs Égert,; László Halpern; Ronald MacDonald |
| Abstract: | In this paper we present an overview of a number of issues relating to the equilibrium exchange rates of transition economies of the former soviet bloc. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss how useful they are likely to be for the transition economies. Amongst our findings is the result that the trend appreciation usually observed for the exchange rates of these economies is affected by factors other than the usual Balassa-Samuelson effect, such as the behaviour of the real exchange rate of the open sector and regulated prices. We then consider three main sources of uncertainty relating to the implementation of an equilibrium exchange rate model, namely: differences in the theoretical underpinnings; differences in the econometric estimation techniques; and differences relating to the time series and cross-sectional dimensions of the data. The ensuing three-dimensional space of real misalignments is probably a useful tool in determining the direction of a possible misalignment rather than its precise size. |
| Keywords: | equilibrium exchange rate, Purchasing Power Parity, trend appreciation, Balassa-Samuelson effect, productivity, inflation differential, tradable prices, regulated prices, Fundamental Equilibrium Exchange Rate, Behavioural Equilibrium Exchange Rate, Permanent Equilibrium Exchange Rate, NATREX, CHEER, transitional economies, euro. |
| JEL: | C15 E31 F31 O11 P17 |
| Date: | 2005–10–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-793&r=tra |
| By: | Lubos Komarek; Martin Melecky |
| Abstract: | The behavioural equilibrium exchange rate (BEER) model of the Czech koruna is derived in this paper and estimated by three methods suitable for non-stationary time series. The potential determinants of the real equilibrium exchange rate considered are the productivity differential, the interest rate differential, the terms of trade, net foreign direct investment, net foreign assets, government consumption and the degree of openness. We find that the Czech koruna was on average undervalued over the period 1994 to 2004 by about 7 percent with respect to the estimated BEER. The significant determinants of the equilibrium exchange rate of the Czech koruna appear to be the productivity differential, the real interest rate differential, the terms of trade and net foreign direct investment. |
| Keywords: | Czech Republic, equilibrium exchange rate modelling, ERM II, exchange rate misalignments, time-series analysis. |
| JEL: | C52 C53 E58 E61 F31 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/05&r=tra |
| By: | Ivan Baboucek; Martin Jancar |
| Abstract: | The paper concerns macro-prudential analysis. It uses an unrestricted VAR model to empirically investigate transmission involving a set of macroeconomic variables describing the development of the Czech economy and the functioning of its credit channel in the past eleven years. Its novelty lies in the fact that it provides the first systematic assessment of the links between loan quality and macroeconomic shocks in the Czech context. The VAR methodology is applied to monthly data transformed into percentage change. The out-of-sample forecast indicates that the most likely outlook for the quality of the banking sector's loan portfolio is that up to the end of 2006 the share of non-performing loans in it will follow a slightly downward trend below double-digit rates. The impulse response is augmented by stress testing exercises that enable us to determine a macroeconomic early warning signal of any worsening in the quality of banks' loans. The paper suggests that the Czech banking sector has attained a considerable ability to withstand a credit risk shock and that the banking sector's stability is compatible both with price stability and with economic growth. Despite being devoted to empirical investigation, the paper pays great attention to methodological issues. At the same time it tries to present both the VAR model and its results transparently and to openly discuss their weak points, which to a large degree can be attributed to data constraints or to the evolutionary nature of an economy in transition. |
| Keywords: | Czech Republic, Macro-prudential analysis, Non-performing loans, VAR model. |
| JEL: | G18 G21 C51 |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/01&r=tra |
| By: | Balazs Egert; Evzen Kocenda; |
| Abstract: | We analyze interrelations between three stock markets in Central and Eastern Europe and, in addition, interconnections which may exist between Western European (DAX, CAC, UKX) and Central and Eastern European stock markets (BUX, PX-50, WIG20). The novelty of our paper rests mainly on the use of the five-minute tick intraday price data from the mid-2003 to the early 2005 for stock indices and on the wide range of econometric techniques employed. We find no robust cointegration relationship for any of the stock index pairs or for any of the extended specifications. There are signs of short-term spillover effects both in terms of stock returns and stock price volatility. Granger causality tests show the presence of bidirectional causality for returns as well as volatility series. The results based on a VAR framework indicate a more limited number of short-term relationships between the stock markets. In general, it appears that spillover effects are stronger from volatility to volatility than contagion effects from return to return series. |
| Keywords: | contagion and spillover effects, market integration, European emerging markets, intra-day data |
| JEL: | C22 F36 G15 O16 P59 |
| Date: | 2005–11–01 |
| URL: | http://d.repec.org/n?u=RePEc:wdi:papers:2005-798&r=tra |
| By: | Jaromir Benes; Tibor Hledik; Michael Kumhof; David Vavra |
| Abstract: | Since the introduction of the inflation targeting regime in 1998 the Czech National Bank has made considerable progress in developing formal tools for supporting its Forecasting and Policy Analysis System. This paper documents the advances in the ongoing research aimed at developing a DSGE small open economy model designed to capture some of the most important features of the Czech economy—both the business-cycle regularities and the recent developments associated with the economy’s transition and its convergence towards the industrialized European countries. The model in its current form is able to capture trends in relative prices, allow for medium-convergence in expenditure shares, and deal with the undercapitalization and investment inflow issues. Besides the model exhibits real and nominal rigidities that are in line with the recent New Open Economy Macroeconomics literature built fully on first principles. The innovative features of our model include the international currency pricing scheme permitting flexible calibration of import and export price elasticities along with the disconnect of the nominal exchange rate, the policy reaction function with a parameterized forecast horizon, and a generalized capital accumulation equation with imperfect intertemporal substitution of investment. |
| Keywords: | . |
| JEL: | C32 E32 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/12&r=tra |
| By: | Vladimir Benacek; Jiri Podpiera; Ladislav Prokop |
| Abstract: | By quantifying the determining factors of Czech trade during 1993-2002, this paper enriches the empirical trade literature with evidence from an economy that has undergone intensive structural changes. Our findings lend significance to standard macroeconomic variables such as aggregate demand and the real exchange rate. Apart from these, however, liberalisation of tariffs, the evolution of unit prices of exports and imports, and economies of scale also played a significant role. An out-of-sample forecast for the trade balance was carried out for 2003-2004. |
| Keywords: | Dynamic estimation, export and import dynamics, trade determinants. |
| JEL: | C23 F14 F32 |
| Date: | 2005–11 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/03&r=tra |
| By: | Michael Brandmeier |
| Abstract: | The real economic effects of the considerably high appreciation in Central European Economies (CEE) are controversially disputed in the eve of the European Monetary Union (EMU) entry of several CEE economies. The Balassa-Samuelson-effect was made responsible for the expectation of higher inflation rates in CEE than in the EMU in the next years. Higher inflation rates will deteriorate the price competitiveness of the export sectors in the CEE countries because of real appreciation. This paper focuses on the effects of labour productivity differences in several industrial and service sectors on the consumer prices. Labour productivity changes are affected by the technology impact on labour demand and by the relative wage increases following from tensions of regional labour markets because of rising prices and skilled labour shortage. Real appreciation is determined by labour productivity differences and by capital good imports. We conclude that the negative coherence between real appreciation and the endangered price competitiveness of the export sectors in CEE has to be taken into account, unless the negative experience of loss of competitiveness because of sudden real appreciation in Eastern Germany will take place on a large scale in the eastern part of the enlarged euro area. |
| Keywords: | European Monetary Union, inflation differences, Balassa-Samuelson-effect, Central and Eastern Europe |
| JEL: | E31 F33 F41 |
| Date: | 2006–06–02 |
| URL: | http://d.repec.org/n?u=RePEc:got:cegedp:55&r=tra |
| By: | Komarek, Lubos (Czech National Bank); Komarkova, Zlatuse (Prague School of Economics); Melecky, Martin (University of New South Wales) |
| Abstract: | According to economic theory, the capital inflows reversal – so-called sudden stop – has a significant negative effect on economic growth. This paper investigates the direct impact of current account reversals on growth in Central and Eastern European countries. Two steps to conduct the analysis are applied. In the first step we estimate the standard growth equation augmented by an effect of the current account reversal. We find that after a current account reversal the growth rate declines by 1.10 percentage points in the current year. The subsequent analysis of the adjustment dynamics builds upon the notion of convergence. We find the unconditional and conditional convergence coefficients to be - 0.47 and -0.52, respectively. This implies that the consequences of the reversal are likely eliminated after 3.3 years when the actual growth rate is back at its equilibrium level, ceteris paribus. Finally, the cumulative loss associated with a sudden stop in capital flows is about 2.3 percentage points. We infer that Central and Eastern European countries are relatively flexible in terms of adjustment and reallocation of resources given the findings in similar literature examining either a more general sample or concentrating on rather different regions. |
| Keywords: | Current Account Reversals ; Economic Growth ; Emerging Market Economies ; Adjustment Dynamics ; Panel Data Analysis |
| JEL: | F32 C23 O40 O52 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:736&r=tra |
| By: | Roman Horvath |
| Abstract: | This paper estimates the medium-term determinants of the bilateral exchange rate variability and exchange rate pressures for 20 developed countries in the 1990s. The results suggest that the optimum currency area criteria explain the dynamics of bilateral exchange rate variability and pressures to a large extent. Next, we predict exchange rate volatility and pressures for the Central and Eastern European Countries (CEECs). We find that the CEECs encounter exchange rate pressures at approximately the same level as the euro area countries did before they adopted the euro. |
| Keywords: | Euro Adoption, Exchange Rates, GMM, Optimum Currency Area. |
| JEL: | F15 F31 E58 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/08&r=tra |
| By: | Tatjana Sedash |
| Abstract: | One of the most acute problems in the world today is provision of a respectable living for the elderly. Today the process of aging population as a result of a declined birth rate and increased life expectancy) has touched all countries of the world - developed countries as well as countries like Russia. Consequently, reforming traditional pension systems to deal with the changing situation has become an important issue around the world. These reforms typically center on the implementation of some form of funding of future pension benefits. This also holds for Russia, where in 1995 pension reform legislation introduced the so-called “accumulation pension”. In this context, this article will deal with the issues concerning the establishment of mutual funds, legal aspects of their operating and their investing opportunities. There will be carried out a comparative analysis of mutual funds with the other forms of public investments, namely: Common Funds of Bank Management, Voucher Investment Funds and Joint-stock Investment Funds. |
| JEL: | G21 G23 G28 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:fra:franaf:166&r=tra |
| By: | Katerina Arnostova; Jaromir Hurnik |
| Abstract: | Due to significant lags between a monetary policy action and the subsequent responses in the economy, understanding the transmission mechanism is of primary importance for conducting monetary policy. This paper analyses the monetary policy transmission mechanism using VAR models - the most widely used empirical methodology for analyzing the transmission mechanism in the Czech economy. Using the VAR methodology, the paper tries to evaluate the effects of an exogenous shock to monetary policy. The results show that an unexpected monetary policy tightening leads to a fall in output, whereas prices remain persistent for a certain time. The exchange rate reaction then heavily depends on the data sample used. Although it is clear that due to the rather short time span of the data, the results should be taken with caution, they at least show that the basic framework of how monetary policy affects the economy does not differ significantly either from what would be predicted by the theory or from the results obtained for more developed economies. |
| Keywords: | Impulse response, monetary policy, transmission mechanism, vector autoregressions. |
| JEL: | E37 E52 |
| Date: | 2005–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2005/04&r=tra |
| By: | Komarek, Lubos (Czech National Bank); Melecky, Martin (University of New South Wales) |
| Abstract: | This paper investigates the possible negative effect of external crises, sudden stops in capital flows and currency crises in emerging market economies. We find that a current account reversal has an important effect, both direct and indirect, on economic growth, and depresses GDP by about 1 percentage point in the current year, when using a broad group of emerging markets. On the other hand, currency crises themselves, identified as a sharp depreciation, do not appear to have a significant direct impact on growth. Their overall effect on growth is positive, though rather insignificant from an economic point of view. The joint occurrence of the currency crisis and the current account reversal appears to be the most damaging event for economic growth. Both the direct and compounded effects are about 5 times larger than those of the reversal in the current year. The estimated cumulative losses for current account reversals and the joint crisis are 2 and 21 percentage points, respectively. The time necessary for the adjustment of actual growth back to its equilibrium rate is roughly 2.5 years after the current account reversal and 6.5 years after the joint occurrence of the currency crisis and the reversal. |
| Keywords: | External Crises ; Economic Growth ; Open Transition Economy ; Panel Data |
| JEL: | F32 C23 O40 O52 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:735&r=tra |
| By: | Laplante, Benoit; Wang, Hua; Meisner, Craig |
| Abstract: | Studies comparing household surveys with on-site interceptor surveys have typically accounted for over-sampling avid users in the on-site interceptor surveys (that is, endogenous stratification). However, these studies have typically not accounted for the possibility that the household sample may contain a large presence of zero observations. If a large proportion of the population does not recreate at the site for any value of the price vector, this inflation of zero observations leads to biased welfare estimates and an inadequate comparison with the on-site survey. In this paper, the authors estimate and compare three models which correct for these measurement issues in both the household and on-site surveys. Results from an application to recreation at Lake Sevan (Armenia) indicate that household consumers ' surplus is not statistically different from that of the on-site survey once the authors account for zero-inflation in the household sample and endogenous stratification in the on-site sample. |
| Keywords: | Transport Economics Policy & Planning,Economic Theory & Research,Science Education,Scientific Research & Science Parks,Roads & Highways |
| Date: | 2006–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:3932&r=tra |
| By: | Bernd Görzig; Martin Gornig; Axel Werwatz |
| Abstract: | East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wages specified in collective wage agreements is drifting ever further apart from the wage gap in terms of effective wages. This paper looks at the role of establishment-specific factors — such as sectoral affiliation and size of the labour force — in this process. A non-parametric decomposition that has played a prominent role in the gender wage-gap literature is applied to breakdown the East-West wage gap into its constituent components. Using establishment data from the German employment statistics, the paper demonstrates that the divergence between wage agreements and effective wages is probably not a consequence of a massive escape from collective wage agreements, or the intense use of opt-out clauses in such agreements in East Germany. Rather, the shift of East Germany’s economic structure towards lower-paying types of companies has caused the lagging behind in the adjustment of wages. |
| Keywords: | Regional Wage Gap, Decomposition, Nonparametric Regression |
| JEL: | J31 L16 C14 C31 |
| Date: | 2006–05 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-044&r=tra |