We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that...
Dutch Disease Scare in Kazakhstan: Is It Real? (2007)
Égert, Balázs, Leonard, Carol S.
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of...
Égert, Balázs, Lommatzsch, Kirsten, LahrËche-RÈvil, Amina
We find that productivity gains in tradables cause an appreciation of the real exchange rate via both tradable and nontradable prices in the CEE-5 and have no affect in the Baltic countries, while...
This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found...
Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change (2006)
Coricelli, Fabrizio, Égert, Balázs, MacDonald, Ronald
This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe. In particular, while laying out the...
Égert, Balázs, Crespo-Cuaresma, Jesus, Reininger, Thomas
In this study, we seek to better understand the interest rate pass-through in five Central and Eastern European countries -- the Czech Republic, Hungary, Poland, Slovakia and Slovenia, the CEE-5. Our...
Private-Sector Credit in Central & Eastern Europe: New (Over) Shooting Stars? (2006)
Égert, Balázs, BackÈ, Peter, Zumer, Tina
This paper analyzes the equilibrium level of private credit to GDP in 11 Central and Eastern European countries in order to see whether the high credit growth recently observed in some of these...
Structural Changes in Transition Economies: Breaking the News or Breaking the Ice? (2006)
Égert, Balázs, Jiménez-Rodríguez, Rebeca, Kočenda, Evžen, Morales-Zumaquero, Amalia
This paper extends the existing literature in structural breaks in transition economies in Central and Eastern Europe, analyzing structural breaks in the volatility of monthly key macroeconomic...
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...
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues (2005)
Égert, Balázs, Halpern, László, MacDonald, Ronald
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...
Equilibrium Exchange Rate in the Czech Republic: How Good is the Czech BEER? (2005)
This paper investigates the equilibrium exchange rate of the Czech koruna using the reduced form equation of the stock-flow approach advocated, for instance, by Faruqee (1995) and Alberola and others...
Égert, Balázs, Morales-Zumaquero, Amalia
This paper attempts to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies as well as its indirect impact via...
Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis (2005)
Égert, Balázs, Halpern, László
This paper analyses the ever-growing literature on equilibrium exchange rates in the new EU member states of Central and Eastern Europe in a quantitative manner using meta-regression analysis. The...
This paper investigates the equilibrium exchange rates of three Southeastern European countries (Bulgaria, Croatia and Romania), of two CIS economies (Russia and Ukraine) and of Turkey. A systematic...
Crespo-Cuaresma, Jesús, Égert, Balázs, MacDonald, Ronald
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of Bessec...
Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn? (2005)
This paper studies the impact of daily official foreign exchange interventions on the exchange rates of two EU candidate countries, namely Croatia and Turkey for the periods from 1996 to 2004 and...
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...
Crespo-Cuaresma, Jesús, Égert, Balázs, Reininger, Thomas
The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are...
Égert, Balázs, Lommatzsch, Kirsten
This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. A theoretical model is developed that provides an explanation for the...
Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach (2004)
This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various...
The ambition of this paper is to provide a thorough overview of equilibrium exchange rates in the acceding countries of Central and Eastern Europe. Therefore, theoretical models of equilibrium...
Égert, Balázs, Kierzenkowski, Rafal
The forthcoming EU enlargement raises a series of questions related to the new entrants’ entry to Exchange Rate Mechanism II and their subsequent adoption of the single currency. In this paper, the...
Nominal and Real Convergence in Estonia: The Balassa-Samuelson (dis)connection (2003)
The objective of the paper is to analyse the nominal and real convergence process in Estonia drawing on the Balassa-Samuelson (B-S) framework. A 15-sectoral breakdown for GDP and a 5-digit level CPI...
The purpose of this paper is to study the equilibrium real exchange rate (ERER) in 5 CEE transition economies, namely the Czech Republic, Hungary, Poland, Slovakia and Slovenia. In so doing, we...
The Balassa-Samuelson effect in Central and Eastern Europe: Myth or reality? (2002)
Égert, Balázs, Drine, Imed, Lommatzsch, Kirsten, Rault, Christophe
This paper studies the Balassa-Samuelson effect in 9 CEECs . Using panel cointegration techniques, we find strong empirical evidence in favour of what we call the internal transmission mechanism...
Official Foreign Exchange Interventions in the Czech Republic: Did They Matter? (2000)
This paper studies the impact of daily official foreign exchange interventions on the Czech koruna’s exchange rate vis-à-vis the euro (German mark prior to 1999) from 1997 to 2002. Using both the...
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Balázs Égert, László Halpern, Ronald MacDonald
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...
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...
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues *
Balázs Égert, László Halpern, Ronald MacDonald
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...
This paper investigates the equilibrium exchange rates of three Southeastern European countries (Bulgaria, Croatia and Romania), of two CIS economies (Russia and Ukraine) and of Turkey. A systematic...
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...
Monetary transmission mechanism in Central and Eastern Europe: Gliding on a wind of change
Coricelli, Fabrizio, Égert, Balázs, MacDonald, Ronald
This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe. In particular, while laying out the...
Égert, Balázs, Morales-Zumaquero, Amalia
This paper attempts to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies as well as its indirect impact via...
Equilibrium exchange rates in Central and Eastern Europe: A meta-regression analysis
Égert, Balázs, Halpern, László
This paper analyses the ever-growing literature on equilibrium exchange rates in the new EU member states of Central and Eastern Europe in a quantitative manner using meta-regression analysis. The...
Égert, Balázs, Lommatzsch, Kirsten
This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. A theoretical model is developed that provides an explanation for the...
The ambition of this paper is to provide a thorough overview of equilibrium exchange rates in the acceding countries of Central and Eastern Europe. Therefore, theoretical models of equilibrium...
Transmission Mechanism in Transition Economies: Surveying the Surveyable
Balázs Égert, Ronald MacDonald
This paper surveys recent advances in the monetary transmission mechanism (MTM). In particular, while laying out the functioning of the separate channels in the MTM, special attention is paid to...
Central Bank Interventions, Communication & Interest Rate Policy in Emerging European Economies
This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found...
Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change
Fabrizio Coricelli, Balázs Égert, Ronald MacDonald
This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe. In particular, while laying out the...
Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away?
Balázs Égert, Jesus Crespo-Cuaresma, Thomas Reininger
In this study, we seek to better understand the interest rate pass-through in five Central and Eastern European countries – the Czech Republic, Hungary, Poland, Slovakia and Slovenia, the CEE-5....
Real Exchange Rates in Small Open OECD and Transition Economies: Comparing Apples with Oranges?
Balázs Égert, Kirsten Lommatzsch, Amina Lahrèche-Révil
We find that productivity gains in tradables cause an appreciation of the real exchange rate via both tradable and nontradable prices in the CEE-5 and have no affect in the Baltic countries, while...
We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets. The novelty of our paper is that...
Dutch Disease Scare in Kazakhstan: Is It Real?
Balázs Égert, Carol S. Leonard
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of...
Dutch disease scare in Kazakhstan: Is it real?
Égert , Balázs, Leonard, Carol S.
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of...
Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies
This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found...
Jesús Crespo-Cuaresma, Balázs Égert, Ronald MacDonald
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of the variant...
Private-Sector Credit in Central and Eastern Europe: New (Over)Shooting Stars?
Balázs Égert, Peter Backé, Tina Zumer
This paper analyses the equilibrium level of private credit to GDP in 11 Central and Eastern European countries in order to see whether the high credit growth recently observed in some of these...
Investigating the Balassa-Samuelson hypothesis in transition: Do we understand what we see?
This paper studies the Balassa-Samuelson effect in the Czech Republic, Hungary, Poland, Slovakia and Slovenia. Time series and panel cointegration techniques are used to show that the BS effect works...
The validity of the Balassa-Samuelson effect seems to be something of a stylized fact for transition countries. This article addresses the question as to whether the productivity bias hypothesis...
Equilibrium Real Exchange Rates in Central Europe's Transition Economies: Knocking on Heaven's Door
The purpose of this paper is to study the equilibrium real exchange rate (ERER) in 5 CEE transition economies, namely the Czech Republic, Hungary, Poland, Slovakia and Slovenia. In so doing, we...
The Balassa-Samuelson effect in Central and Eastern Europe: Myth or reality?
Balázs Égert, Imed Drine, Kirsten Lommatzsch, Christophe Rault
This paper studies the Balassa-Samuelson effect in 9 CEECs . Using panel cointegration techniques, we find strong empirical evidence in favour of what we call the internal transmission mechanism...
Nominal and Real Convergence in Estonia: The Balassa-Samuelson (dis)connection
The objective of the paper is to analyse the nominal and real convergence process in Estonia drawing on the Balassa-Samuelson (B-S) framework. A 15-sectoral breakdown for GDP and a 5-digit level CPI...
Modelling Stock Returns in the G-7 and in Selected CEE Economies: A Non-linear GARCH Approach
This paper investigates conditional variance patterns in daily return series of stock market indices in the G-7 and 6 selected economies of Central and Eastern Europe. For this purpose, various...
Jesús Crespo-Cuaresma, Balázs Égert, Thomas Reininger
The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are...
Balázs Égert, Kirsten Lommatzsch
This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Poland, Slovakia and Slovenia. A theoretical model is developed that provides an explanation for the...
Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?
This paper studies the impact of daily official foreign exchange interventions on the exchange rates of two EU candidate countries, namely Croatia and Turkey for the periods from 1996 to 2004 and...
Official Foreign Exchange Interventions in the Czech Republic: Did They Matter?
This paper studies the impact of daily official foreign exchange interventions on the Czech koruna’s exchange rate vis-à-vis the euro (German mark prior to 1999) from 1997 to 2002. Using both the...
Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis
This paper analyses the ever-growing literature on equilibrium exchange rates in the new EU member states of Central and Eastern Europe in a quantitative manner using meta-regression analysis. The...
This paper investigates the equilibrium exchange rates of three Southeastern European countries (Bulgaria, Croatia and Romania), of two CIS economies (Russia and Ukraine) and of Turkey. A systematic...
Jesús Crespo-Cuaresma, Balázs Égert, Ronald MacDonald
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of Bessec...
Equilibrium Exchange Rate in the Czech Republic: How Good is the Czech BEER?
This paper investigates the equilibrium exchange rate of the Czech koruna using the reduced form equation of the stock-ow approach advocated, for instance, by Faruqee (1995) and Alberola and others...
Balázs Égert, Amalia Morales-Zumaquero
This paper attempts to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies as well as its indirect impact via...
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...
Foreign exchange interventions in a small emerging market: the case of Croatia
Central bank intervention, Foreign exchange intervention, Official interventions, Foreign exchange market, Effectiveness, Exchange rate volatility, Emerging economies, Transition economies, F31,
Structural changes in Central and Eastern European economies: breaking news or breaking the ice?
Balázs Égert, Rebeca Jiménez-Rodríguez, Evžen Kočenda, Amalia Morales-Zumaquero
Central and Eastern European (CEE) countries, Multiple structural breaks, Volatility, C11, E31, E51, F31, J21, J30, P0,
Credit growth in Central and Eastern Europe - new (over)shooting stars?
Balázs Égert, Peter Backé, Tina Zumer
This paper analyzes the equilibrium level of private credit to GDP in 11 Central and Eastern European countries in order to see whether the high credit growth recently observed in some of these...
Determinants of house prices in central and eastern Europe
Balázs Égert, Dubravko Mihaljek
This paper studies the determinants of house prices in eight transition economies of central and eastern Europe (CEE) and 19 OECD countries. The main question addressed is whether the conventional...
Equilibrium Exchange Rate in the Czech Republic: How Good is the Czech BEER?
The paper investigates the equilibrium exchange rate of the Czech koruna using the reduced-form equation of the stock-flow approach advocated by, for example, Faruqee (1995) and Alberola et al....
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Égert, Balázs, Halpern, László, MacDonald, Ronald
In this Paper we present an overview of a number of issues relating to the equilibrium exchange rates of the new EU member states from Central and Eastern Europe. In particular, we present a critical...
Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis
Égert, Balázs, Halpern, László
This Paper sets out to analyse the ever-growing literature on equilibrium exchange rates in the new EU member states of Central and Eastern Europe in a quantitative manner using meta-regression...
Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable
Balázs Égert, Ronald MacDonald
This paper surveys recent advances in the monetary transmission mechanism (MTM). In particular, while laying out the functioning of the separate channels in the MTM, special attention is paid to...
Real Exchange Rate Dynamics in Macedonia: Old Wisdoms and New Insights
Bogoev, Jane, Bojceva Terzijan, Sultanija, Égert, Balázs, Petrovska, Magdalena
The ambition of this paper is to analyse real exchange rate dynamics in Macedonia relying on a highly disaggregated dataset. We complement the indirect evidence reported in Loko and Tuladhar (2005)...
Balázs Égert, Amalia Morales-Zumaquero
The authors attempt to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies, as well as its indirect impact via...
Central Bank Interventions, Communication and Interest Rate Policy in Emerging European Economies
This paper analyses the effectiveness of foreign exchange interventions in Croatia, the Czech Republic, Hungary, Romania, Slovakia and Turkey using the event study approach. Interventions are found...
Real Convergence, Price Level Convergence and Inflation Differentials in Europe
This paper provides a comprehensive review of the factors that can cause price levels to diverge and which are at the root of different inflation rates in Europe including the EU-27. Among others, we...
Monetary Transmission Mechanism in Central and Eastern Europe: Surveying the Surveyable
Balázs Égert, Ronald MacDonald
This paper surveys recent advances in empirical studies of the monetary transmission mechanism (MTM), with special attention to Central and Eastern Europe (CEE). Our results indicate that the...
MONETARY TRANSMISSION MECHANISM IN CENTRAL AND EASTERN EUROPE: SURVEYING THE SURVEYABLE
Balázs Égert, Ronald MacDonald
This paper surveys recent advances in empirical studies of the monetary transmission mechanism, with special attention to Central and Eastern Europe (CEE). Our results indicate that the strength of...
Infrastructure and Growth: Empirical Evidence
Balázs Égert, Tomasz Kozluk, Douglas Sutherland
Investment in network infrastructure can boost long-term economic growth in OECD countries. Moreover, infrastructure investment can have a positive effect on growth that goes beyond the effect of the...
Infrastructure Investment: Links to Growth and the Role of Public Policies
Balázs Égert, Tomasz Kozluk, Douglas Sutherland
Investment in network infrastructure – the energy, water, transport and telecommunication networks – which performs a vital role for the functioning of the economy, can contribute to raising...
This paper finds that coherent regulatory policies can boost investment in network industries of OECD economies. Rate-of-return regulation is generally thought to result in overinvestment, while...
This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices,...
Dutch disease in former Soviet Union: Witch-hunting?
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...
Real Estate, Construction and Growth in Central and Eastern Europe: Impact on Competitiveness?
This paper studies recent developments in the construction sector in Central and Eastern Europe (CEE) against a number of benchmarks including a set of mature OECD countries. In addition to analyzing...
Credit Growth in Central and Eastern Europe Revisited
Peter Backé, Balázs Égert, Zoltan Walko
This short study builds on earlier work by Égert, Backé and Zumer that analyzes data up to the end of 2004 and presents updated results on the deviations of private sector credit-to-GDP levels from...
Determinants of House Price Dynamics in Central and Eastern Europe
Balázs Égert, Dubravko Mihaljek
This paper examines the determinants of house price dynamics in Central and Eastern European (CEE) transition economies. While we emphasize the role of conventional fundamental factors, we also...