Darvas, Zsolt, Pisani-Ferry, Jean, Röller, Lars-Hendrik, Santos, Indhira, Sapir, André, Van Pottelsberghe, Bruno, ...
These Memos, addressed to the next Commission President and to the new European commissioners, are written by Bruegel Scholars and edited by Senior Research Fellow André Sapir and focus on key...
This paper describes the particular impacts of the financial and economic crisis on central and eastern European (CEE) countries, studies pro-cyclicality of fiscal policies, discusses the impact of...
Avoiding a new European divide. Bruegel Policy brief 2008/10, December 2008 (2008)
Pisani-Ferry, Jean, Darvas, Zsolt.
The financial crisis, which is now hitting the new member states severely, highlights the shortcomings of the existing institutional architecture in Europe. Current strains reflect a revaluation of...
Inflation persistence in the new members of the EU (2007)
Zsolt Darvas, Balázs Varga, Jel Classifications C
This paper studies inflation persistence with time-varying-coefficient models. To this end, using Monte Carlo methods we compare the statistical properties of the well known maximum likelihood...
Darvas, Zsolt, Szapáry, György
It is generally recognised that countries wanting to join a monetary union should display the optimal currency area properties. One such property is the similarity of business cycles. We therefore...
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Darvas, Zsolt, Rose, Andrew K, Szapáry, György
Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is,...
Zsolt Darvas, Gábor Rappai, Zoltán Schepp
Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are...
Decomposing output into trend and cyclical components is an uncertain exercise and depends on the method applied. It is an especially dubious task for countries undergoing large structural changes,...
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Zsolt Darvas, Andrew K. Rose, György Szapáry
Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is,...
Business Cycle Sychronization in the Enlarged EU
Darvas, Zsolt, Szapáry, György
This paper analyses the synchronization of business cycles between new and old EU members using various measures. The main findings are that Hungary, Poland and Slovenia have achieved a high degree...
Zsolt Darvas, Gábor Rappai, Zoltán Schepp
Results and models of this paper are based on a strikingly new empirical observation: long maturity forward rates between bilateral currency pairs of the US, Germany, UK, and Switzerland are...
This paper studies inflation persistence with time-varying-coefficient autoregressions in response to recently discovered structural breaks in historical inflation time series of the euro-area and...
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Zsolt Darvas, Andrew K. Rose, György Szapáry
Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is,...
Decomposing output into trend and cyclical components is an uncertain exercise and depends on the method applied. It is an especially dubious task for countries undergoing large structural changes,...
Long maturity forward rates of major currencies are stationary
Using eight unit root tests and a stationarity test and three decades of monthly data for the currencies between the US, Germany, UK and Switzerland, we find that, while spot exchange rates are...
Samples with overlapping observations are used for the study of uncovered interest rate parity, the predictability of long run stock returns, and the credibility of exchange rate target zones. This...
Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates
This paper shows that error correction models assuming that long-maturity forward rates are stationary outperform the random walk in out of sample forecasting at forecasting horizons mostly above one...
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic
Zsolt Darvas, Andrew K. Rose, György Szapáry
Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is,...
Financial Contagion in Five Small Open Economies: Does the Exchange Rate Regime Really Matter?
Darvas, Zsolt, Szapary, Gyorgy
This paper examines the spillover effects of the global financial crises of 1997-9 on five small open economies with different types of exchange rate regimes: the Czech Republic, Greece, Hungary,...
Euro Area Enlargement and Euro Adoption Strategies
The paper discusses the risks and challenges faced by the new members on the road to the euro and the strategies for and timing of euro adoption. We investigate the real-nominal convergence nexus...
Business Cycle Synchronization in the Enlarged EU
Business cycle synchronization, Consumption-correlation puzzle, EMU, New EU members, OCA endogeneity, E32, F41,
Samples with overlapping observations are used for the study of uncovered interest rate parity, the predictability of long-run stock returns and the credibility of exchange rate target zones. This...
Univariate Potential Output Estimations for Hungary
Potential output figures are important ingredients of many macroeconomic modelsand are routinely applied by policy makers and global agencies. Despite itswidespread use, estimation of potential...
Exchange Rate Premia and the Credibility of the Crawling Target Zone in Hungary
After the introduction of a preannounced crawling peg exchange rate regime in Hungary in March 1995, forward and futures rates of more than six months maturity exceeded the upper edge of the...
The drift-adjustment method estimates the expected rate of depreciation within an exchange rate band by simple equations. Papers applying this method claim that, while forecasting a freely floating...
Financial Contagion under Different Exchange Rate Regimes
This paper reviews the contagion effects of the global financial crises of 1997-99 on five small open economies: the Czech Republic, Greece, Hungary, Israel and Poland. We analyze how the financial...
Capital Stock and Economic Development in Hungary
Income per capita of Hungary attained 70 percent of the Austrian level by the end of the eighteenth century and fluctuated around this value between the World Wars. As an „achievement” of the...
Potential Output and Foreign Trade in Small Open Economies
In open economies excess demand in the tradables sector often manfests itself in an external deficit instead of the employment gap that is applied in the usual Phillips-curve model. The inflationary...
Univariate Potential Output Estimations for Hungary
Potential output figures are important ingredients of many macroeconomic models and are routinely applied by policy makers and global agencies. Despite its widespread use, estimation of potential...
Business Cycle Synchronisation in the Enlarged EU: Comovements in the New and Old Members
It is generally recognized that countries wanting to join a monetary union should display the optimal currency area properties. One such property is the similarity of business cycles. We therefore...
Exchange rate pass-through and real exchange rate in EU candidate countries
This paper studies a particular aspect of the choice of exchange rate regime by EU candidate countries in the run-up to membership of European Economic and Monetary Union (EMU). The fact that these...
Analysis of large real exchange rate appreciation episodes
In the past three decades several countries of the world have experienced fast and large real exchange rate appreciation, similarly to the recent Hungarian experience. This paper studies...
Leveraged carry trade portfolios
Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and...
Leveraged Carry Trade Portfolios
Studying all possible pairs of eleven major currencies and eleven portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and...
Euro Area Enlargement and Euro Adoption Strategies
The paper discusses the risks and challenges faced by the new members on the road to the euro and the strategies for and timing of euro adoption. We investigate the real-nominal convergence nexus...
This paper studies the transmission of monetary policy to macroeconomic variables in three new EU Member States in comparison with that in the euro area with structural time-varying coefficient...
Leveraged carry trade portfolios
Studying all possible pairs of 11 major currencies and 11 portfolios in 1976-2008 we show that, when there is no leverage, carry trade is significantly profitable for most currency pairs and...
Cyclical dimensions of labour mobility after EU enlargement
Alan Ahearne, Herbert Brücker, Zsolt Darvas, Jakob Von Weizsäcker
This paper explores the influence of the economic cycle on labour mobility within the EU, focusing on the likely impact of the present economic crisis. To do so, we use an econometrically calibrated...
Business Cycle Synchronization in the Enlarged EU
This paper analyzes the synchronization of business cycles between new and old EU members using various measures. The main findings are that Hungary, Poland and Slovenia have achieved high degree of...
This paper studies the transmission of monetary policy to macroeconomic variables in three new EU Member States in comparison with that in the euro area with structural time-varying coefficient...
Long maturity forward rates of major currencies are stationary
Using eight unit root tests and a stationarity test and three decades of monthly data for the currencies between the US, Germany, UK and Switzerland, we find that, while spot exchange rates are...
This paper studies the transmission of monetary policy to macroeconomic variables in three new EU Member States in comparison with that in the euro area with structural time-varying coefficient...
Cyclical Dimensions of Labour Mobility after EU Enlargement
Alan Ahearne, Herbert Brcker, Zsolt Darvas, Jakob Von Weizs„cker
This paper explores the influence of the economic cycle on labour mobility within the EU, focusing on the likely impact of the present economic crisis. To do so, we use an econometrically calibrated...
The Impact of the Crisis on Budget Policy in Central and Eastern Europe
This paper describes the particular impacts of the financial and economic crisis on central and eastern European (CEE) countries, studies pro-cyclicality of fiscal policies, discusses the impact of...