Skip to main navigation menu Skip to main content Skip to site footer

Aggregate Demand Disturbances in the Visegrad Group and the Eurozone

DOI:

https://doi.org/10.15678/EBER.2013.010302

Abstract

The main goal of the paper is to evaluate, in a comparative manner, the degree of similarities in aggregated demand disturbances in the Visegrad Group (the Czech Republic, Hungary, Poland and Slovakia, collectively: V4) and the Eurozone economies from 1995 to 2013. The underlying demand disturbances are extracted using the structural vector auto-regression (SVAR) model with the long-run restrictions. The identification scheme is based on the theoretical aggregate supplyaggregate demand (AS-AD) model. The obtained approximations of unobservable demand shocks are then used to infer on their correlation structures. This comparative empirical study brings evidence on the similarities in aggregate demand shocks within the V4 and EMU countries.
PDF

References

  1. Baxter, M., & Kouparitsas, M. (2005). Determinants of business cycle comovement: a robust analysis. Journal of Monetary Economics, Elsevier, 52(1), 113-157.
  2. Bayoumi, T., & Eichengreen, B. (1993). Shocking Aspects of European Monetary Integration. Torres, F., & Giavazzi, F. (Eds.). Adjustment and growth in the European Monetary Union. Cambridge: Cambridge University Press.
  3. Beck, K. (2014). Structural Similarity as a Determinant of Business Cycles Synchronization in the European Union: a Robust Analysis. Research in Economics and Business: Central and Eastern Europe, 5(2).
  4. Benigno, P. (2009). New-Keynesian Economics: an AS-AD View. NBER Working Paper, 14824, 1-47.
  5. Blanchard, O., & Quah, D. (1989). The Dynamic Effects of Aggregate Supply and Demand Disturbances. American Economic Review, 79(4), 655-673.
  6. Bordo, M., & Helbling, T. (2011). International Business Cycle Synchronization In Historical Perspective. Manchester School, 79(2), 208-238.
  7. Böwer, U., & Guillemineau C. (2006). Determinants of Business Cycles Synchronization Across Euro Area Countries. EBC Working Paper, 587, 1-73.
  8. Calvo, G. (1983). Staggered Prices in a Utility-Maximizing Framework. Journal of Monetary Economics, 12(3), 383-398.
  9. Commission of the European Communities (1990). One market, one money. An evaluation of the potential benefits and costs of forming an economic and monetary union. European Economy, 44, 1-347.
  10. de Grauwe, P., & Mongelli, F.P. (2005). Endogeneities of Optimum Currency Areas. What Brings Countries Sharing a Single Currency Closer Together?. ECB Working Paper, 468, 1-40.
  11. Darvas, Z., & Szapáry, G. (2008). Business Cycle Synchronization in the Enlarged EU, Open Economies Review, 19(1), 1-19.
  12. Frankel J., & Rose, A. (1998). The Endogeneity of the Optimum Currency Area Criteria, Economic Journal, 108(449), 1009-25.
  13. Fidrmuc, J., & Korhonen, I. (2006). Meta-analysis of the business cycle correlation between the euro area and the CEECs. Journal of Comparative Economics, 34(3), 518-537.
  14. Fidrmuc, J., & Korhonen, I. (2006). Meta-Analysis of the Business Cycle Correlation between the Euro Area and the CEECs. CESifo Working Paper Series, 1693, 1-27.
  15. Imbs, J. (2004). Trade, Finance, Specialization, and Synchronization. Review of Economics and Statistics, 86(3), 723-734.
  16. Kalemli-Ozcan, S., Papaioannou, E., & Peydró, J.L. (2009). Financial Integration and Business Cycles Synchronization. CEPR Discussion Paper, 7292, 1-50.
  17. Kenen, P. (1969). The Theory of Optimum Currency Areas: An Eclectic View. R. Mundell & A. Swoboda (Eds.). Monetary Problems in the International Economy. Chicago, IL: University of Chicago Press, 41-60.
  18. Krugman, P. (1993). Lessons of Massachusetts for EMU. F. Torres & F.Giavazzi (Eds.). Adjustment and growth in the European Monetary Union. Cambridge: Cambridge University Press, 241- 261.
  19. Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root. Journal of Econometrics, 54(1), 159-178.
  20. Lee, G. & Azali, M. (2010). The Endogeneity of The Optimum Currency Area Criteria in East Asia. Economic Modelling, 27(1), 165-170.
  21. Lehwald S. (2013). Has the Euro changed business cycle synchronization? Evidence from the core and the periphery, Empirica, 40(4), 655-684.
  22. McKinnon, R. (1963). Optimum Currency Areas. American Economic Review, 53(1), 717-725.
  23. Mundell, R. (1961). A Theory of Optimum Currency Areas. American Economic Review, 51(4), 657- 665.
  24. Sachs, A., & Schleer, F. (2013). Labour Market Institutions and Structural Reforms: A Source for Business Cycle Synchronization?. International Journal of Applied Economics, 10(1), 63-83.
  25. Said, E., & Dickey, D. (1984). Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order. Biometrika, 71(3), 599-607.
  26. Siedschlag, I. (2010). Patterns and Determinants of Business Cycles Synchronization in Enlarged European and Monetary Union, Eastern Journal of European Studies, 1(1), 21-44.
  27. Silvestre, J., Mendonca, A., & Passos, J. (2007). The Shrinking Endogeneity of Optimum Currency Areas Criteria: Evidence from the European Monetary Union - A Beta Regression Approach. ISEG Working Paper, 22, 1-12.
  28. Taylor, M.P. (2004). Estimating Structural Macroeconomic Shocks through Long-run Recursive Restrictions on Vector Autoregressive Models: the Problem of Identification. International Journal of Finance and Economics, 9(3), 229-244.

Downloads

Download data is not yet available.