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on Transition Economics |
| By: | Maciej Stefański |
| Abstract: | This paper extends the Laubach-Williams (2003) framework, which is widely used to estimate the natural rate of interest, to make it more suitable for studying small open economies. The model is augmented with consumer inflation expectations, foreign output gap, the exchange rate, energy prices and a lending spread. It also uses survey data to improve the accuracy of output gap and potential growth estimates. This model is subsequently applied to CEE countries (Poland, Czechia and Hungary) and the euro area. The natural interest rate is found to be relatively volatile and pro-cyclical; it fell following the global financial crisis, but rebounded in recent years; however, while it remains lower than before the crisis, it is positive for all analysed economies. The model gives more precise and robust estimates than the standard Laubach-Williams framework, but ex-post revisions remain substantial. |
| Keywords: | natural interest rate, small open economy, CEE, Kalman filter |
| JEL: | E43 E52 C32 |
| Date: | 2023–09 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2023093&r=tra |
| By: | Łukasz Below |
| Abstract: | I confirm the foregoing state of the art for inflation and well-being correlation while filling the gap in the literature and estimating the effects of individuals' inflation perception on well-being. I also discover the significant heterogeneity in attitudes toward inflation, inflation perception, and unemployment among European countries. Inflation measured by official statistics, as well as inflation perceived by consumers, has a significant negative influence on people's well-being. The relation was confirmed by regressing reported life satisfaction on a wide set of individual characteristics, as well as macroeconomic variables. While the inflation perception influence on well-being in Eastern Europe is higher than the influence of HICP, for Western Europe, it is the opposite. Both country groups also differ in terms of the marginal rate of substitution between inflation and unemployment – the effects of higher unemployment are more severe in comparison to the influence of inflation in Western Europe. |
| Keywords: | inflation, happiness, unemployment, well-being |
| JEL: | D60 E31 E5 E7 I31 |
| Date: | 2023–03 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2023086&r=tra |
| By: | Marco Tedeschi (Department of Economics and Social Sciences, Universita' Politecnica delle Marche) |
| Abstract: | This study examines the relationship between fossil fuels energy prices and renewable energy ETFs through a two-step approach: cointegration analysis and volatility spillover examination at both aggregate and frequency levels. Using daily closing prices from May 5, 2014, to October 31, 2023, we find evidence of cointegration among prices and a substitutedness (complementarity) relationship between fossil fuels and eolic (solar) energy. Exploring the system's common trend and correction mechanism underscores the influential role of growing Environmental, Social, and Governance (ESG) sentiment in the market. External events, such as the Russia-Ukraine war and the Covid-19 pandemic, have discernible impacts on financial prices. The study provides valuable implications for investors and hedgers, offering guidance for portfolio optimization and emphasizing the consideration of sustainable financial products. |
| Keywords: | Cointegration; Spillovers: Renewable Energies; Fossil Fuels; ESG. |
| JEL: | C22 C58 Q40 |
| Date: | 2023–12 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wpaper:483&r=tra |
| By: | Agnieszka Rabiej; Dominika Sikora; Andrzej Torój |
| Abstract: | We investigate the regional business cycles at NUTS-3 granularity in Poland (N=73) using two variables in parallel: GDP dynamics and unemployment. The model allows for both idiosyncratic business cycle fluctuations in a region in the form of 2-state Markov chain, as well as spatial interactions with other regions. The posterior distribution of the parameters is simulated with a Metropolis-within-Gibbs procedure. We find that the regions can be classified into business cycle setters and takers, and this classification exhibits a high degree of overlap with the line of division between metropolitan versus peripheral regions. We also find that, under large N, the fixed-effects methods, as proposed in the previous literature, are vulnerable to both identification issues and (MCMC) convergence problems, especially with short T, which is of critical importance in GDP on the considered spatial granularity level. |
| Keywords: | business cycle, spatial autoregression, NUTS-3, Markov switching, Bayesian analysis |
| JEL: | C11 C23 C24 R12 |
| Date: | 2023–01 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2023082&r=tra |
| By: | Anna Kurowska (Faculty of Political Studies and International Relations; Interdisciplinary Center for Labour Market and Family Dynamics (LabFam)); Agnieszka Kasperska (University of Warsaw, Faculty of Economic Sciences; Interdisciplinary Center for Labour Market and Family Dynamics (LabFam)); Gayle Kaufman (Department of Sociology, Davidson College Faculty of Economic Sciences) |
| Abstract: | Better access to work from home (WFH) during the COVID-19 pandemic offered parents the possibility to accommodate increasing childcare needs, but at the same time it led to an unprecedented scale of workers performing paid and care work simultaneously. The overall effects of WFH on work-life balance (WLB) during the pandemic are thus not clear. In our study we argue that three important moderators alter the positive relationship between WFH on perceived changes to WLB during the pandemic: i) time that children spent at home due to the pandemic, ii) change in parent’s working hours during the pandemic and iii) presence of a partner in the household. We place particular interest in gender differences for these effects. We use unique data from the Familydemic Survey, conducted between June and September 2021, on a representative sample of 9, 364 mothers and fathers living with at least one child aged less than 12 in six countries (Canada, Italy, Germany, Poland, Sweden and the US). We find evidence showing that WFH was positively related to perceived change in WLB among mothers and fathers, regardless of partnership status. However, the positive effect was weaker among those mothers whose child(ren) stayed at home due to childcare closures for longer than a month. The positive relationship among mothers disappeared if women increased their working hours during the pandemic. In addition, we found a negative relationship between WFH and WLB among fathers who increased their working hours during the pandemic. We also provide evidence that mothers (compared to fathers), parents whose children were out of childcare for six months or more (compared to other parents) and parents who increased their working hours (compared to other parents) were more likely to report worsened work-life balance during the pandemic. |
| Keywords: | remote work, work-life balance, childcare, working hours |
| JEL: | J12 J13 J16 |
| Date: | 2023 |
| URL: | http://d.repec.org/n?u=RePEc:war:wpaper:2023-29&r=tra |
| By: | Łukasz Olejnik |
| Abstract: | Recently, there has been a rise in research focused on determining the magnitude of the fiscal multiplier. One aspect of this research involves estimating the fiscal multiplier of specific components of government revenues and expenditures and different sub-sectors within the general government sector. The article showcases the results of an analysis that calculates the fiscal multipliers of local government total investments and investments broken down into 10 different categories of investment expenditures, for 73 NUTS-3 sub-regions in Poland over the period from 2007 to 2021. The findings suggest that in the 1-2 years following the initial shock, the accumulated fiscal multipliers of investment expenditures are either insignificant or are significant but less than 1. Contrarily, during the 3-5 year period, the accumulated fiscal multipliers of total investment expenditures and expenditures on road construction show a significant increase, surpassing 1.5. Meanwhile, the fiscal multiplier of investments funded by EU structural funds can reach as high as 3.0. |
| Keywords: | fiscal multiplier, local government investment, fiscal multiplier of disaggregated investment expenditure, local projections |
| JEL: | E62 H70 R50 |
| Date: | 2023–03 |
| URL: | http://d.repec.org/n?u=RePEc:sgh:kaewps:2023084&r=tra |
| By: | Tihana Škrinjarić (Bank of England, United Kingdom) |
| Abstract: | This paper contributes to the literature on macroprudential stance assessment in two ways. Firstly, it gives a comprehensive review of related literature to see the current directions research and policy practice, alongside the problems. Secondly, it empirically evaluates different aspects and issues when assessing the macroprudential stance. The empirical part of the paper focuses on country that has a fairly active macroprudential policy to establish the initial framework for assessing the effectiveness of macroprudential policy in Croatia. Results show that somewhat different results could be obtained based on variable definition and selection. This means that measuring macroprudential stance is difficult, as it depends on the definition of the macroprudential policy variable, selection of other important variables in the analysis, as well as other methodological factors. |
| Keywords: | systemic risk, macroprudential policy, financial stability, financial conditions, quantile regression, policy assessment, macroprudential stance, Q-VAR, growth at risk |
| JEL: | E32 E44 E58 G01 G28 C22 |
| Date: | 2023–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:hnb:wpaper:72&r=tra |
| By: | Ivan Mužić (Croatian National Bank, Croatia); Ivan Žilić (Croatian National Bank, Croatia) |
| Abstract: | In this paper, we analyze the effects of a price control program designed to mitigate the inflation burden for households. In particular, as a part of a larger relief package, in September 2022 the Croatian government lowered and fixed the price of essential food products, including long-term milk. While selective price controls on food products have a social dimension, setting the price ceiling too low might lead to shortages and a decrease in consumer welfare. Applying a difference-in-difference identification strategy and using weekly data on milk availability and pricing across a number of stores in Croatia, Slovenia, and Bosnia and Herzegovina, we estimate the causal effects of the price-ceiling policy. We find that the regulated milk was around 35% cheaper than it would have been if there was no program, and we find no adverse effect on the regulated milk availability. We document that the price of substitutes (other types of milk) did not increase, but we do record an increase in the availability of close substitutes of the regulated milk type. While our back-of-the-envelope calculation indicates that the effect of milk price ceilings on overall inflation is negligible, we show that this inflation-soothing effect is more prominent for poorer households. |
| Keywords: | inflation, price controls, availability, substitution |
| JEL: | E31 G50 E64 |
| Date: | 2023–11–08 |
| URL: | http://d.repec.org/n?u=RePEc:hnb:wpaper:71&r=tra |