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Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections in different EMEs. To this end, we develop a small open economy Dynamic Stochastic General Equilibrium (DSGE) framework featuring both permanent and transitory productivity shocks, differentiated home and foreign goods, and endogenous exchange rate movements. Furthermore, our model incorporates liability dollarization as a particular form of financial frictions in EMEs. In this vein, we account for the fact that emerging markets traditionally have had difficulties in borrowing in domestic currency on international capital markets and thus allow for valuation effects in our analysis. We estimate our model using Bayesian techniques for a number of EMEs and thereby control for potential heterogeneity across countries. Contrary to previous studies in this strand of the literature, we include a (vector-)autoregressive measurement error component to capture off-model dynamics. Regarding business cycles in emerging markets, our main findings are that (i) even though we incorporate financial frictions in the framework, trend shocks are the main determinant of macroeconomic fluctuations, (ii) accounting for liability dollarization ameliorates the model fit, and (iii) valuation effects on average stabilize changes in the net foreign asset position.

This paper provides a sectoral examination of the impact of trade policies and custom valuation procedures on estimating the dollar value of time varying import content of Japanese transplant automobiles. Using monthly data from 1985 to 1992, we introduce an error correction model (ECM) and a state space vector auto regression (SS-VAR) model to purify trade data of measurement errors induced by unobserveable prices and customs valuation procedures. Data show that US import of Japanese auto parts are elastic to the fleet of active Japanese automobiles in the U.S., inelastic to transplant production and that disequilibrium adjustments relative to transplant production are corrected in oneperiod. Further, changes in imports are responsive to the cyclical behavior of Big 3 production and the debt burden of automobile consumers. Moreover, we find that productivity trends in the automotive industry are not a significant determinant of imported parts. The model predicts that Japanese manufacturers will shift more production to the US in response to yen appreciation against the dollar. We show that import content decreased following the Fair Trade in Parts Act and the Omnibus Trade and Competitiveness Act of 1988, but increased shortly thereafter and predictions are that it will continue to increase. Therefore the empirical evidence suggests that direct trade policies designed to reduce the dollar value of import content and increase domestic sourcing of auto parts are not effective in the long run.

Since the 1970s, exports and imports of manufactured goods have been the engine of international trade and much of that trade relies on container shipping. This paper introduces a new monthly index of the volume of container trade to and from North America. Incorporating this index into a structural macroeconomic VAR model facilitates the identification of shocks to domestic U.S. demand as well as foreign demand for U.S. manufactured goods. We show that, unlike in the Great Recession, the primary determinant of the U.S. economic contraction in early 2020 was a sharp drop in domestic demand. Although detrended data for personal consumption expenditures and manufacturing output suggest that the U.S. economy has recovered to near 90% of pre-pandemic levels as of March 2021, our structural VAR model shows that the component of manufacturing output driven by domestic demand had only recovered to 57% of pre-pandemic levels and that of real personal consumption only to 78%. The difference is mainly accounted for by unexpected reductions in frictions in the container shipping market.

The authors examine the effectiveness of labor cost reductions as a means to stimulate economic activity and assesses the differences which may occur with the prevailing exchange rate regime. They develop a medium-scale three-region DSGE model and show that the impact of a cut in the employers’ social security contributions rate does not vary significantly under different exchange rate regimes. They find that both the interest rate and the exchange rate channel matters. Furthermore, the measure appears to be effective even if it comes along with a consumption tax increase to preserve long-term fiscal sustainability. Finally, they assess whether obtained theoretical results hold up empirically by applying the local projection method. Regression results suggest that changes in employers’ social security contributions rates have statistically significant real effects – a one percentage point reduction leads to an average cumulative rise in output of around 1.3 percent in the medium term. Moreover, the outcome does not differ significantly across the different exchange rate regimes.

This paper intends to harmonize two different approaches employed in the analysis of business cycles and, in doing so, it retrieves the stylized facts of the business cycle in Europe. We start with the ‘classical’ approach proposed in Burns and Mitchell (1946) of dating and analyzing the business cycle. The stylized facts retrieved are commented and compared to those obtained by Harding and Pagan (2002) for the U.S.. Two conclusions can be extracted from the results: a) though the turning points obtained for individual countries seem to cluster and would suggest the idea of a common cycle, there are relevant differences in the stylized facts characterizing the business cycle in the individual European economies under analysis; b) moreover, we find relevant differences in the business cycle stylized facts of the European countries and the U.S., mostly in terms of the duration, the amplitude of the cycle and the shape of the recovery. We then adopt the ‘modern’ alternative: the Markov-switching vector autoregression (MS-VAR). The model’s regime probabilities provide an optimal statistical inference of the turning point of the European business cycle. For assessing the capacity of the parametric approach to generate the stylized facts of the classical cycle in Europe, the stylized facts of the original data are compared to those of simulated data. Contrary to the results reported by Harding and Pagan (2002) , we show that the MS-VAR model is a good candidate to be used as an statistical instrument to improve the understanding of the business cycle.

This paper investigates how biases in macroeconomic forecasts are associated with economic surprises and market responses across asset classes around US data announcements. We find that the skewness of the distribution of economic forecasts is a strong predictor of economic surprises, suggesting that forecasters behave strategically (rational bias) and possess private information. Our results also show that consensus forecasts of US macroeconomic releases embed anchoring. Under these conditions, both economic surprises and the returns of assets that are sensitive to macroeconomic conditions are predictable. Our findings indicate that local equities and bond markets are more predictable than foreign markets, currencies and commodities. Economic surprises are found to link to asset returns very distinctively through the stages of the economic cycle, whereas they strongly depend on economic releases being inflation- or growth-related. Yet, when forecasters fail to correctly forecast the direction of economic surprises, regret becomes a relevant cognitive bias to explain asset price responses. We find that the behavioral and rational biases encountered in US economic forecasting also exists in Continental Europe, the United Kingdom and Japan, albeit, to a lesser extent.

We develop several models to examine possible predictors of the return of gold, which embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price) extracted from a recursive principal component analysis (PCA) and two uncertainty and stress indices (the Kansas City Fed's financial stress index and the U.S. economic policy uncertainty index). Specifically, by comparing alternative predictive models, we show that the dynamic model averaging (DMA) and dynamic model selection (DMS) models outperform linear models (such as the random walk) as well as the Bayesian model averaging (BMA) model. The DMS is the best predictive model overall across all forecast horizons. Generally, all the predictors show strong predictive power at one time or another though at varying magnitudes, while the exchange rate factor and the Kansas City Fed's financial stress index appear to be strong at almost all horizons and sub-periods. However, the forecasting prowess of the exchange rate is supreme.

The article presents the brief overview of the results of privatization in Russia during the period from 1995 to 2013. The privatization of the largest state companies is covered, large-scale privatization deals of the last two years are considered as highly efficient. The paper provides the comparative analysis of the standard or mass privatization mechanism of state (municipal) property and the individual approach to the privatization of the biggest companies with state participation. Based on the results of the analysis the number of criteria is suggested in order to objectively determine by what mechamism (classic or individual) the privatization should take place.

(english) Core labour standards defined by the ILO in 1998 are universal, but applied very differently across countries. Compliance is much higher in high income countries. However, the causality between improved labour standards and economic growth remains a controversial issue. Export-led growth strategies might encourage developing countries to curb the process of standards improvement. In this way, they can raise the volume of their unskilled labour endowments (child and/or forced labour) in order to strengthen their comparative advantage over compliant countries and pursue "social dumping" strategies, which aim more directly at increasing competitiveness. We use a gravity model to assess the trade impact of curbing the level of compliance with core labour standards, distinguishing the effects on bilateral trade (geographical specialization) from the multilateral effects on all exports and imports. We show that, other things being equal, countries that meet the labour standards tend to trade more with each other, while non-compliant countries tend to trade more with compliant countries. These effects are identified mainly with respect to child labour and freedom of association. All other things being equal, countries that meet the labour standards tend to be less open than non-compliant countries, but differently depending on the standards, with a non-linear relationship for some of them. Less compliant countries, frequently the poorest ones, may simultaneously step up their trade and labour standards. For median countries, mainly the emerging countries, the level of compliance with labour standards is “optimal” from a mercantilist point of view. For the most compliant countries, the developed ones, their strict compliance with labour standards implies a trade shortfall. _________________________________ (français) Les normes de travail fondamentales définies par l'OIT en 1998 sont universelles, mais différemment appliquées dans les pays. Leur respect est beaucoup plus élevé dans les pays à haut revenu. Toutefois, la causalité entre l'amélioration des normes de travail et la croissance reste un sujet débattu. Les stratégies de croissance par les exportations pourraient encourager les pays en développement à ralentir le processus d'amélioration des normes. Ils peuvent ainsi accroître leur dotation relative en travail non qualifié (travail des enfants et/ou forcé) pour renforcer leurs avantages comparatifs par rapport aux pays qui les respectent et poursuivre des politiques dites de "dumping social" qui visent encore plus directement à accroître leur compétitivité. Nous utilisons un modèle de gravité pour évaluer l'impact du commerce sur le respect des normes fondamentales de travail en séparant les effets sur le commerce bilatéral (spécialisation géographique) des effets sur l'ouverture multilatérale. Nous montrons que, toutes choses égales par ailleurs, les pays qui respectent les normes de travail tendent à échanger davantage entre eux alors que les pays qui ne les respectent pas tendent à échanger davantage avec les pays qui les respectent. Ces effets sont particulièrement nets avec le travail des enfants et la liberté d'association. Les pays qui respectent les normes de travail tendent à être moins ouverts que les pays qui ne les respectent pas, mais avec des différences selon les normes avec une relation non linéaire pour certaines d'entre elles. Les pays qui les respectent le moins, généralement les plus pauvres, améliorent simultanément leur commerce et leurs normes. Pour les pays intermédiaires en terme de respect des normes, principalement les pays émergents, le niveau de respect des normes de travail est “optimal” d'un point de vue mercantiliste. Pour les pays les plus respectueux, ce niveau élevé de normes conduit à réduire leur commerce.

In this paper, some major modifications are made to the existing GTAP structure and database to incorporate a long-run closure in which changes in the ownership of capital stocks are determined endogenously and income earned on endowment commodities accrues to the owners of those endowments. This long-run closure assumes that in the long run all economies are growing at a common steady-state rate of growth, determined by the rate of population and technological growth. In order to ensure valid comparative statics the underlying growth rate in the database must equal this steady-state rate of growth. Shocks are imposed to equate the growth rates of capital across regions and thus create a steady-state database. Once the GTAP model and database have been modified, they are then used to simulate the long-run effects of Asia-Pacific trade liberalisation on welfare and gross national product. It is found that the foreign ownership of assets does have a significant effect on the projected outcome of trade liberalisation in the Asia-Pacific region.

The main ideas in this paper are: (a) that CGE models can be used in forecasting; and (b) that forecasts matter for policy analysis. We demonstrate these ideas by describing an application of MONASH, a dynamic CGE model of Australia, to the Australian motor vehicle industry over the period 1987 to 2016. The key to generating believable forecasts is to use detailed information available from expert groups specializing in the analysis of different aspects of the economy. In MONASH we incorporate forecasts by specialists: on the domestic macro economy; on Australian economic policy; on world commodity markets; on international tourism; on production technologies; and on consumer preferences. We have found that CGE forecasts incorporating such specialist information are readily saleable to public and private organizations concerned with investment, employment, training and education issues. This is partly because the economy-wide consistency guaranteed by the CGE approach enables users of economic intelligence to see the disparate forecasts dealing with different parts and aspects of the economy within an integrated perspective. Over the last thirty five years, CGE models have been used almost exclusively as aids to "what if" (usually policy) analysis. In almost all cases it has been assumed that the effects of the shock under consideration are independent of the future path of the economy. Thus, for "what if" analysis, a common implicit view is that realistic basecase forecasts are unnecessary. Contrary to this view, we find that "what if" answers depend significantly on the basecase forecasts. This is not surprising when we are concerned with unemployment and other adjustment costs. However, we find that basecase forecasts are critical even when our concern is the long-run welfare implications of a policy change. For example, we find that the simulated long-run effects of a tariff cut on imported cars are strongly influenced by the basecase forecast of the rate of technical progress in the car industry relative to that in other industries.

Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including business surveys and financial indicators. The pseudo real-time nature of the information set is accounted for as the pattern of publication lags is considered. Forecast evaluation exercises show that predictions obtained through various dimension reduction methods outperform both the benchmark AR and the diffusion index model without pre-selected indicators. Moreover, forecast combination significantly reduces forecast error.

This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-à-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports “forecasts” using revised data, I construct a quarterly real-time dataset that incorporates only the information available to market participants when the forecasts are made. Using bootstrapped out-of-sample test statistics, the exchange rate model with Taylor rule fundamentals performs better at the one-quarter horizon and panel estimation is not able to improve its performance. The PPP model, however, forecasts better at the 16-quarter horizon and its performance increases in panel framework. The results are in accord with previous research on long-run PPP and Taylor rule models. Key Words: Exchange Rate Forecasting, Taylor Rules, Real-Time Data, Out-of-Sample Test Statistics

Agriculture is a major engine for the economic well-being of the Gambia. The successive governments from the colonial periods to the present have all recognized this importance of the agricultural sector but failed to do something that bear any fruit since government encouraged slash and burn technology and putting increasingly more people onto the land instead of increasing the yields per acre. More people than before do remain still on the land, but they are now poorer than their forefathers. Using autoregressive and vector error correction techniques to examine the growth-agriculture relation in the Gambia for the period from 1966 to 2009, it is found that the capital per worker is a significant and relevant factor input for the economic growth. The agricultural labor per acre is found to be irrelevant in both the short run and the long run analyses. The agricultural productivity measured as crop yields per acre is the most important variable for the economic growth in the Gambia. It boosts both the economic growth and the capital formation in the country. The agricultural policies should be focused on increasing the crop yields per acre not having more people back to the land. The processing, services and small manufacturing sectors should be developed and built into the agricultural policies in order to create redeployments for the agricultural labor surpluses.

The purpose of this study is to determine whether or not the option agreements are used in an effective manner by the central banks, as an alternative tool of intervention in their intervention in the foreign exchange markets. In that respect, the interventions of the central banks in the foreign exchange markets, and their use of the option agreements have been dealt theoretically; and the intervention program applied by the Colombia Central Bank on the option agreement has been examined. In this paper, we will test the effectiveness of the intervention of the Colombia Central Bank Banco de la Republica Colombia on the foreign exchange market by using the option agreements, on the level of exchange rate and the volatility. For this purpose, in order for the quantities of tender for the four types of option agreements used by the bank, to represent the capital movements effecting the exchange rate level as control variable, the Libor rate representing the international interest rates, and the rate of interest in Colombia are taken into consideration, and a test will be applied to determine whether there is a downward or upward sudden movements in the level of exchange rate. Based on the results to be achieved, we will attempt to form an opinion regarding the effectiveness of the option intervention program.

This paper constructs an RMB/USD exchange rate index and a basket currency exchange rate index. The correlation maximization of the RMB/USD and the basket currency index may determine the weight and quantity of the basket currency. The currency basket indicates that the weight of the USD is highest, whereas that of the GB Pound is the lowest. Our currency basket has a high linear dependence on that of the central bank. We found that the RMB/USD and currency basket indices have a long-term co-integration relationship according to the optimal currency weights. The results of the error-correcting model manifest as the RMB/USD exchange rate deviates from the long-term equilibrium level, wherein 76.3% will be corrected. This paper checks the prediction capacity, which indicates the good fit of the model. By using the Granger causality test the findings show that the People¡¯s Bank of China adjusts the RMB/USD exchange rate with reference to the currency basket.

The paper reviews recent episodes of quantitative easing in the United States and associated internal and external transmission mechanisms. On the basis of the Vector Error Correction Model (VECM) specific features of transmission for the Russian economy are revealed. The U.S. active balance monetary policy maintains oil prices at a high level, which allows Russian economy to grow at relatively high rate. However, if current economic policy in Russia unchanged, unchanged it conserves further existing model of economic growth making it unstable to external shocks and ineffective in the long-run. Thus, cancellation of the U.S. quantitative easing will cause sharp fall (severe recession) in growth rate of the Russian economy, slow recovery and only a very gradual improvement in the structure of production.

The paper analyses an integration development in Eurasian region in the transition of post-Soviet states to the market principles of national economic cooperation. Eurasian integration stages and main achievements of the Member States of the Customs Union and Single Economic Space are studied as well as strategic objectives of the Eurasian Economic Union mentioned.

Starting in the USA housing sector in June 2007 and acquiring global dimension in September 2008, many macroeconomic factors played influential roles in the formation of the recent global economic crisis. Spreading from the USA to other developed economies at first and to developing economies afterward , the crisis gradually acquired a real dimension. Though as a consequence of the measures taken, there have been some signs of recovery in the global economy since the second half of 2009; it is thought that there are still some significant risks in the process of permanent recovery process. This study an examination of the policies applied and the result achieved has been done in the context of the globe in general and Turkey in specific. The scrutiny led to some policy recommendations for facing similar crisis in the future.

This paper examines the exchange rate disconnect puzzle of Obstfeld and Rogoff (2000) from a behavioural perspective. It provides evidence on the existence of substantial asymmetries in the underlying loss preferences for the difference between the spot and forward nominal exchange rates between the G7 countries for one-week and four-week forecast horizons. We further perform forecast breakdown tests in forward markets during the Greek and the Portuguese sovereign debt crisis, and then re-estimate the loss preferences showing a mean-reverting transition from optimism to pessimism and vice versa. Finally, we attribute the evolution of preferences to economic fundamentals and risk indexes and find that together with significant endogenous dynamics, variables such as growth and deficit differentials, interest rate and legal risk assert some significant impact on asymmetry. This new set of information suggests that the puzzle could have its roots on an underlying asymmetric loss function that reflects variability in preferences over exchange rate movements due to a variety of episodes in economic fundamentals.

Using the NiGEM model, the authors show that a wage moderation in the “deficit” countries of the euro area –i.e. lowering the annual growth rate of wages by one percentage point over a five year horizon– would improve their current account balances by 0.2 to 0.3 percentage points of GDP. The impact would be greater if the wage moderation in the “deficit” euro area countries were accompanied by a simultaneous and symmetrical wage increase in the area’s surplus countries.

Gold prices: Analyzing its cyclical behavior Abstract: Gold is a commodity that is seen as a safe haven when a financial crisis strikes, but when stock markets are prosperous, these are more attractive investment alternatives, and so the gold cycle goes on and on. The DJIA/GF (Dow Jones Industrial Average and Gold Fix ratio) is chosen to establish the evolution of gold prices in relation to the NYSE. This paper has two goals: to prove that the DJIA/GF ratio is strongly cyclical by using Fourier analysis and to set a predictive neural networks model to forecast the behavior of this ratio during 2011-2020. To this end, business cycle events like the Great Depression along with the 1970s crisis, and the 1950s boom along with the world economic recovery of the 1990s are contrasted in light of the mentioned ratio. Gold prices are found to evolve cyclically with a dominant period of 37 years and are mainly affected by energy prices, financial markets and macroeconomic indicators. Keywords: Gold cycle, DJIA/GF ratio, Fourier analysis, neural network forecast. JEL classification: L72, Q02, F47, F44. Los precios del oro: Análisis de su comportamiento cíclico Resumen: El oro es un bien básico que se ve como refugio cuando una crisis financiera acontece; pero cuando los mercados de valores son prósperos, las acciones son una alternativa más atractiva, y así se da el ciclo del oro. El DJIA/GF (relación entre el Índice Industrial Dow Jones y el precio del oro) permite establecer la evolución de los precios del oro en relación con el NYSE. Este trabajo tiene dos objetivos: demostrar que la relación DJIA/ GF es fuertemente cíclica usando análisis de Fourier, y establecer un modelo de redes neuronales para predecir el comportamiento de esta relación durante 2011-2020. Para ello, eventos económicos cíclicos como la Gran Depresión junto con la crisis de los años 70, y el auge de los años 50 junto con la recuperación de los 90, se contrastan a la luz de la relación DJIA/GF. Se encuentra que los precios del oro evolucionan cíclicamente con un periodo dominante de 37 años y están afectados principalmente por los precios de los energéticos, los mercados financieros e indicadores macroeconómicos. Palabras clave: Ciclo del oro, relación DJIA/GF, análisis de Fourier, pronóstico de red neuronal. Clasificación JEL: L72, Q02, F47, F44. Le prix de l'or : Une analyse de son comportement cyclique Résumé: L'or est une marchandise qui est considéré étant un refuge en cas de crise financière, mais lorsque les marchés boursiers sont en plein essor, les actions sont une alternative plus intéressante. Ceci donne naissance au cycle de l'or. Le ratio ente l'indice industriel Dow Jones et le prix de l'or (DJIA/GF) montre l'évolution du prix de l'or par rapport à la NYSE (New York Stock Exchange). Cet article a deux objectifs: premièrement, il s’agit de démontrer que le ratio DJIA/GF est très cyclique lorsqu’on utilise l'analyse de Fourier et, deuxièmement, il s’agit d’établir un modèle de réseau neuronal pour prédire le comportement de ce ratio entre 2011 et 2020. Pour ce faire, les événements économiques comme la Grande Dépression, la crise des années 70, le boom des années 50 ou bien la reprise des années 90, sont contrastés à la lumière du ratio DJIA/GF. Nous constatons que les prix de l'or évoluent de manière cyclique avec une période dominante de 37 ans et ceux-ci sont essentiellement influencés par les prix de l'énergie, par les marchés financiers et par les agrégats macroéconomiques. Mots-clés: cycle de l'or, ratio DJIA/GF, analyse de Fourier, prévisions à travers un réseau neuronal JEL Classification: L72, Q02, F47, F44.

À partir de simulations du modèle NiGEM, les auteurs montrent qu’une modération salariale pratiquée dans les pays « déficitaires » de la zone euro induirait une amélioration du solde des transactions courantes comprise entre 0,2 et 0,3 point de PIB à l’horizon de cinq ans. Un ajustement symétrique des pays de la zone euro permettrait d’accroître la taille de cet ajustement.

This text presents the economic forecast conducted by the KOF Swiss Economic Institute at the ETH Zurich as published on 26 March 2013. After an introduction describing the current situation and crucial assumptions underlying the forecast, we summarise the key results for Switzerland. Then we turn to the for the Swiss economy central development in the international economy and subsequently describe the Swiss economic outlook in greater detail. We forecast the main demand components of GDP as well as important macroeconomic prices and figures, such as employment and unemployment, the price level and the exchange rate for Switzerland. In the 2013/2014 period covered by this forecast, we expect a slight acceleration in economic growth.

This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR and ESTAR models to linear autoregressive models. Our data spans from 1970:01 to 2012:07, and we found that there are no significant gains from using either the Band-TAR or ESTAR non-linear models, compared to the linear AR model in terms of out-of-sample forecasting performance, especially at short horizons. We draw similar conclusions to other literature, and find that for the South African rand against the United States dollar and British pound, non-linearities are too weak for Band-TAR and ESTAR models to estimate.

Further economic and monetary integration in Europe is currently on hold due to the crisis and even questions about the possible exile of Greece. Especially in those conditions, it is important, to see whether integrated Europe can handle future problems and if economic and monetary integration can be helpful or rather more problematic. The main aim of this paper is to check to what degree business cycles are synchronized in the Eurozone and the European Union and what the main determinants of business cycles synchronization are. To achieve this, the following steps have been taken. Firstly, we turn to optimum currency area theory, to see what conditions need to be met, if the European Union and the euro area can use common monetary policy to deal with some economic shocks. Then, all necessary methodological explanations are presented. Later on, the preliminary data analysis is employed to see how business cycles and their determinants were acting during the last 20 years. Finally, panel data analysis is used to check how those determinants actually influence business cycles synchronization. The main finding of the article is that even though business cycles synchronization has been progressing in the European Union and the euro area so does the specialization – divergence in production structure. This may result in less synchronized business cycles in the future.

We analyze potential interactions between the cyclic fluctuations in credit and activity in five countries of the Central Africa Monetary and Economic Union (CAMEU) economies. Cycles are extracted by using a pass-band filter, and then characterized over the period 1960-2008 according to the Bry and Boshan algorithm. Co-movements and concordance analysis establish that credit is procyclical in the CAMEU economies. Cointegration and causality tests specify interactions between the both cycles within countries. Indeed, in Chad credit cycle causes activity cycle; in Gabon and Congo, a feedback effect is observed; in Cameroon and CAR causality seems less obvious. Finally, our results reveal specificities in banks behavior towards financing of activity in CAMEU area.

This paper analyzes the robustness of emerging economies growth performance to a number of external demand shocks using a Bayesian vector autoregressive (BVAR) model with informative priors on the steady state. Using quarterly data from 1993 to 2011 for global financial conditions and external demand variables, it examines the magnitude of the shocks from a deepening Eurozone recession on China, emerging Asia, and emerging Latin America, and the factors that influence the transmission of these shocks. It finds that more than fifty percent of the variation in real GDP growth of Latin American emerging economies is explained by external factors, while it is slightly less than fifty percent for emerging Asia and China. Conditional forecasts of different scenarios indicate that a deepening of the Eurozone recession would create a severe and persistent contraction for emerging economies, depending on the response of the U.S. growth to this shock. Finally, forecasts suggest that a sharp slowdown in China’s growth would have a significant negative impact on emerging economies’ growth, and that the Latin American countries would be more severely hit than the Asian ones.

© 2016 Elsevier B.V. This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy to illustrate how our multi-country approach to modeling oil markets can be used to identify country-specific oil-supply shocks. On the empirical side, estimating the GVAR-Oil model for 27 countries/regions over the period 1979Q2 to 2013Q1, we show that the global economic implications of oil-supply shocks (due to, for instance, sanctions, wars, or natural disasters) vary considerably depending on which country is subject to the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on the global economy (real outputs and financial markets) mainly due to an increase in Saudi Arabian oil production. In contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that the loss in Saudi Arabian production is not compensated for by the other oil producers. As a result, a Saudi Arabian oil supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging economies, and large losses in real equity prices worldwide.

We develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions in the euro area and between the euro area and the world economy. Specifically, we simulate a permanent reduction in labor tax rates in the euro area. The effects on real activity are expansionary in both the short run and long run. Implementing reforms simultaneously across regions would produce extra benefits and make the macroeconomic performance in the euro area more even.

Under efficient consumption risk sharing, as assumed in standard international business cycle models, a country's aggregate consumption rises relative to foreign consumption, when the country's real exchange rate depreciates. Yet empirically, relative consumption and the real exchange rate are essentially uncorrelated. This paper shows that this `consumption-real exchange rate anomaly' can be explained by a simple model in which a subset of households trade in complete financial markets, while the remaining households lead hand-to-mouth (HTM) lives. HTM behaviour also generates greater volatility of the real exchange rate and of net exports, which likewise brings the model closer to the data.

2003:1 ile 2011:9 doneminde Turkiye’nin ithalat-ihracat-reel doviz kuru arasindaki nedensellik iliskisinin ampirik olarak arastirildigi bu calismada Hacker ve Hatemi-J (2006) tarafindan onerilen kaldiracli bootstrap teknigiyle duzeltilmis MWALD testi uygulanmistir. Toplam ihracat-toplam ithalat, toplam ihracat-ara mali ithalati, toplam ihracat-sermaye mali ithalati, toplam ithalat-tuketim mali ihracati ve sermaye mali ithalati tuketim mali ihracati arasinda iki yonlu nedensellik iliskisi bulunmustur. Toplam ihracattan tuketim mali ithalatina dogru, tuketim mali ihracatindan tuketim mali ithalatina ve ara mali ithalatina dogru tek yonlu iliski bulunmustur. Doviz kuru ile ithalat ve ihracat arasindaki nedensellik iliskilerine yonelik tahminlerin tamaminda bir nedensellik iliskisine rastlanmamistir. Bulgular butun olarak degerlendirildiginde, ithalat ve ihracat arasindaki bagimliligin doviz kuru politikasini yansiz hale getirdigini ima etmektedir.

We study whether the nonlinear behavior of the real exchange rate can help us account for the lack of predictability of the nominal exchange rate. We construct a smooth nonlinear error-correction model that allows us to test the hypotheses of nonlinear predictability of the nominal exchange rate and nonlinear behavior on the real exchange rate in the context of a fully specified cointegrated system. Using a panel of 19 countries and three numeraires, we find evidence of nonlinear predictability of the nominal exchange rate and of nonlinear mean reversion of the real exchange rate. Out-of-sample Theil’s U -statistics show a higher forecast precision of the nonlinear model than the one obtained with a random walk specification. Although the robustness of the out-of-sample results over different forecast windows is somewhat limited, we are able to obtain significant predictability gains—from a parsimonious structural model with PPP fundamentals—even at short-run horizons.

The exchange rate reflects the ratio at which one currency can be exchanged with another currency, namely the ratio of currency prices. The relevant literature implies, by the purchasing power parity theory, that in the long-run exchange rates converge to an equilibrium level. The question that arises is related to the behavior in the short-term of the exchange rates, and how these fluctuations might affect the financial market players, the investors as well as those directly influenced by changes in the exchange rate In this study we want to highlight the methods for exchange rate forecasting, using the exchange rates of Romanian Leu versus the most important currencies in terms of international trade, namely the Euro, United States Dollar, British Pound, Japanese Yen, Chinese Renminbi and the Russian Ruble. The relevant literature on currency forecasting issues includes a wide range of methods, the majority concentrating on models that are based on the random walk hypothesis in forecasting exchange rates, respectively those based on macroeconomic indicators. (Chinn and Meese:1995), (Mark:1995) (Hwang: 2001) consider the last ones more efficient, while (Meese and Rogof: 1983), (Goldberg and Frydman: 1996) indicate that the models based on the random walk hypothesis are superior. Others, like (Marsh and Power:1996), (Kilian and Taylor: 2001), (Zhang, Simoff and Debenham: 2006) use hybrid models. In the literature both types of models are used, but in the long-term the models based on macroeconomic indicators outperform those based on random walk, while in the short-term a more efficient predictability is achieved by the models based on random walk. To forecast the exchange rates the single exponential smoothing technique, double exponential smoothing technique, Holt -Winters simple exponential smoothing technique, Holt -Winters multiplicative exponential smoothing technique, Holt -Winters additive exponential smoothing technique namely the the autoregressive integrated moving average models were used. The forecasting results were measured by the indicators: Sum of squared errors, Root mean squared error, Mean absolute error, Bias Proportion, Variance Proportion, Covariance Proportion and the Theil Inequality Coefficient. All the results indicate the apreciation of the Romanian Leu against the other currencies. In the case of the first five forecast techniques the results are similar, from the point of view of the forecast coefficients, which points out that the optimal models were found. The exponential smoothing techniques in some cases outperform the ARIMA models, because of the speed eith which they addapt to the smallest changes to the market conditions. In addition, the ARIMA models present some difficulties in estimating and validating the model, are more effective in rendering the medium-term trend, in our case 4 months. So these models show the changes in trend, while the forecasting models based on exponential smoothing techniques are an effective tool for those interested in the evolution of the exchange rate. This work was possible with the financial support of the Sectoral Operational Programme for Human Resources Development 2007-2013, co-financed by the European Social Fund, under the project number POSDRU/107/1.5/S/77946 with the title "Doctorate: an Attractive Research Career ".

This paper presents an exchange rate forecasting model which combines the multi-state Markov-switching model with smoothing techniques. The model outperforms a random walk at short horizons and its superior forecastability appears to be robust over different sample spans. Our finding hinges on the fact that exchange rates tend to follow highly persistent trends and accordingly, the key to beating the random walk is to identify these trends. An attempt to link the trends in exchange rates to the underlying macroeconomic determinants further reveals that fundamentals-based linear models generally fail to capture the persistence in exchange rates and thus are incapable of outforecasting the random walk.

In this paper we provide evidence of exchange rate predictability for a selected emerging market economy (EME) at intermediate horizons, arguably, the most relevant for policy purposes. This is important because the existing literature on exchange rate predictability has mainly focused on developed economies, leaving relatively unexplored the question for EME. By making use of a unique quarterly database of external assets and liabilities for Chile, we show that a measure of external imbalances is able to predict the real exchange rate over horizons of up to two years. Robust out-of-sample evidence on predictability reflects the fact that the external balance's importance to the exchange rate has risen in recent years and/or the precision of parameter estimates rises as sample size grows larger. When we break down our measure for external imbalances into its three component ratios (exports to imports, exports to assets, and assets to liabilities), we find that predictability is mainly driven by the last two. Our results suggest that researchers and policymakers should pay attention to external imbalances to understand the future dynamics of the real exchange rate.

The research focuses on the analysis of the foreign direct investment (hereinafter FDI) inflows to Ukraine and the macroeconomic risks connected with investing. According to the State Committee of Statistics, the largest FDI inflows to Ukraine as of January 1, 2011 were from Cyprus, with 22.2 per cent of cumulative FDI, Germany with 15.8 per cent, the Netherlands with 10.5 per cent, Russia with 7.6 per cent, Austria with 5.9 per cent, France with 5.3 per cent and the United Kingdom with 5.1 per cent. The lion’s share of FDI to Ukraine was invested in the financial services and industry sector: USD 15 billion or 33.7 per cent of total FDI and USD 14 billion or 31.4 per cent of total FDI respectively. There are several key macroeconomic risks for foreign investors to Ukrainian economy. The critical external factors for Ukraine’s economy include global commodities prices, primarily steel and oil and global appetite for emerging markets debt. Regardless before mentioned risks, according to the United Nations trade and development body annual report on global FDI, Ukraine is the leader among the Commonwealth of Independent States (hereinafter CIS) countries in the FDI growth. FDI flow into Ukrainian economy increased by 35 per cent up to USD 6.5 billion in 2010, making Ukraine one of the leading investment recipients in the CIS region. Recently, the global rating agency Fitch Ratings raised Ukraine s long-term foreign credit rating from stable to positive. Notably, according to the World Investment Report 2011, the Ukrainian FDI flow constitutes 23 per cent of gross fixed capital formation. At the same time, the average rate for the CIS is 15.1 per cent and for the world – 9.1 per cent.

A small open economy model emphasizing the endogenous interestrate arbitrage was employed to examine whether arbitrage activities would dampen or augment exchange rate volatility against random disturbances. Based on numerical simulation, increased risk aversion of arbitragers was observed to dampen exchange rate volatility that is subject to random disturbances resulting from domestic absorption, domestic money supply, and foreign interest rates. On the contrary, volatility was augmented by random disturbance from foreign income. Results of sensitivity analysis suggest that the role of arbitragers’ risk aversion could be associated with the degree of goods price flexibility, particularly when domestic monetary, or domestic income, or foreign income disturbances are present. These findings call for future empirical studies to address the role of price flexibility for improved estimates of parameter values that govern the exchange rate behavior in the model. - Al fine di esaminare se l’arbitraggio riduce o aumenta la volatilità del tasso di cambio in presenza di disturbi casuali, è stato preso in considerazione un modello di piccola economia ove è enfatizzato l’arbitraggio endogeno sui tassi di interesse. Sulla base di simulazioni numeriche è stato evidenziato che l’aumento dell’avversione al rischio da parte degli arbitraggisti preclude l’aumento della volatilità del tasso di cambio, il quale è soggetto a disturbi casuali conseguenti ad assorbimento interno, offerta interna di moneta e tassi di interesse esteri. Al contrario la volatilità aumenta in presenza di disturbi casuali nel reddito estero. I risultati delle analisi di sensitività suggeriscono che il ruolo dell’avversione al rischio degli arbitraggisti potrebbe essere associato al grado di flessibilità del prezzo dei beni, specialmente in presenza di disturbi monetari o di reddito, sia interno che estero. Queste evidenze richiedono che future analisi empiriche determinino qual è il ruolo della flessibilità del prezzo per il comportamento del tasso di cambio nel modello considerato.

Az európai gazdaság aktuális kibocsátásának drámai csökkenése jóval erőteljesebb, mint amennyit megmagyarázhat a potenciális kibocsátástól történő ciklikus eltérés. A szerző áttekinti, hogy milyen hatást gyakorolt a válság az Európai Unió tagállamainak potenciális növekedésére, valamint annak legfontosabb tényezőire: a munka hasznosulására, a tőkeakkumulációra és a teljes tényezőtermelékenységre. A szerző - a termelésifüggvény-megközelítés alkalmazásával - széles körű középtávú mennyiségi elemzést végzett az Európai Unió újszerűen körülhatárolt öt országcsoportjában. A potenciális növekedés üteme - a szimulációk szerint - a jelenlegi gazdaságpolitika folytatása esetén középtávon is csak részben áll helyre. Különösen kedvezőtlenek a mediterrán és a sérülékenynek nevezett - közép-kelet-európai - országcsoport kilátásai. Hosszabb távon az európai növekedési potenciál további eróziója várható. Emiatt különösen fontos a növekedés lehetőségeket fokozó makrogazdasági politika alkalmazása, valamint a régóta halogatott strukturális reformok végrehajtása. Journal of Economic Literature (JEL) kód: F43, F47, O47., The dramatic fall in the European economys output is more robust than its cyclical deviation from potential output may explain. The author overviews the effects of the crisis on the EU member states growth performance and on the major factors behind growth: labour, capital, accumulation, and total factor productivity. Based on the production-function approach, the author made widespread quantitative analyses in five groups of EU countries (formed using a novel approach). Simulations suggest that on the assumption of current economic policy continuing, the rate of growth recovers only partly, even in the medium term. The prospects for the Mediterranean and vulnerable - Central and East European - groups of countries are especially unfavourable. In the longer term further erosion of the European growth potential can be expected. That is why it is vitally important to implement macroeconomic policies that enhance potential growth and the delayed structural reforms.

This investigation assesses the effects of exchange rate volatility on Swaziland’s total exports. The paper employs exports quarterly time series data ranging from 1995Q1 to 2005Q4. A Vector Error Correction Model (VECM) approach is used to study the relationship between exports and their determinants. The findings of the study suggest that exchange rate volatility is detrimental to Swaziland’s exports.

The success of the integration process of the new EU Member States is reflected by their nominal and real convergence performance. These tendencies are of special importance considering further enlargement of the Eurozone. The financial and economic crisis of 2008 has resulted, however, in a fundamentally new situation as regards these issues. The paper considers the experiences gained in real convergence, the catch-up processes and their future prospects. As for nominal convergence, only those factors were analysed which affect real convergence directly. In particular, the analysis focuses on the sustainability of the convergence processes. The possible trends of longer term growth and convergence processes are presented based on a qualitative analysis representing the supply side approach. The analysis is aimed at revealing potential – not insignificant – risks and threats.

This paper examines the relationship between exchange rate pass-through and exchange rate volatility. Numerical simulation suggests that increased degree of pass-through may be stabilizing or destabilizing the exchange rate, mainly depending on the source of random disturbances. The result is generally insensitive to the income elasticity of aggregate demand, the income elasticity of trade balance and income elasticity of money demand, but it is sensitive to the degree of price flexibility. When domestic absorption disturbance, domestic real income disturbance, or foreign real income disturbance impinges on the economy, an increased degree of pass-through tends to decrease exchange rate volatility when price adjustment is inelastic, but it turns out to be destabilizing if the price adjustment is elastic. / Questo lavoro esamina il rapporto tra il pass-through, ovvero la misura in cui le variazioni dei cambi si ripercuotono sui prezzi dei beni, e la volatilità del cambio. La simulazione numerica suggerisce che un livello maggiore di pass-through può avere un effetto stabilizzante o destabilizzante sul tasso di cambio, ciò dipende prevalentemente dalla fonte dei disturbi casuali. Il risultato generalmente è insensibile all’elasticità – rispetto al reddito – della domanda aggregata, del saldo della bilancia commerciale e della domanda di moneta, ma è sensibile al grado di flessibilità dei prezzi. Quando i disturbi nell’assorbimento interno e nel reddito interno o estero reale influiscono sull’economia, un maggiore pass-through tende a far diminuire la volatilità del cambio – se l’aggiustamento del prezzo è inelastico – mentre se quest’ultimo è elastico il pass-through risulta destabilizzante.

The factors that determined substantial cross-country variation of output decline during the recent recession are discussed. The regression analysis is performed for the sample of 172 economies, as well as for the sub-samples of developing and oil-exporting economies. Regression results indicate that three distinct factors had a significant impact on output decline, viz. financial shocks, trade shocks, and precrisis economic imbalances. Explanatory power of the econometric model obtained is fairly large. The contribution of crisis decline factors to the depth of recession is calculated for the developing and emerging economies on average, as well as for Russia. The results of the analysis are used to provide recommendations for reducing the vulnerability of Russian economy to future crises.

The paper assesses the dependence of basic macroeconomic indicators of the Russian economy on the oil price dynamics on the world market. Hypotheses about the sensitivity of macroeconomic indicators of the Russian economy to oil price fluctuations are formulated, and a simultaneous equations system is specified and estimated in order to test these hypotheses. The scenarios of reaction of the Russian economy to exogenous shocks related to sharp oil price cuts are investigated, and policy recommendations aimed to minimize the negative impact of these shocks are formulated

Recent business development in connection with the present state of world economy evokes the managers to make alterations in their decision making. Companies´ managements can make right decisions only with the aid of current and precision information. In addition, managers have to get all information in time. Decisionmaking processes should be realized quickly and under the strong thumb of a competitive environment. Some years ago, for the support of top level of management, information systems development was oriented to decision support systems (DSS). On the present, decision support systems development is transformed to development of business intelligence (BI) systems. Business intelligence technologies provide historical, current, and predictive views of business operations. In business intelligence, described views are represented by reporting, ad-hoc reporting, OLAP analysis etc. With the aid of business intelligence systems development, managers have more possibilities to choose types and structures of information. This article deals with business intelligence systems development in connection with the e-commerce systems, cross-border online shopping and business companies´ management needs.

Over the past two decades, globalisation has given a boost to world trade, has grown one and a half times faster than world output, and the difference has even been considerably higher in recent years as world trade growth accelerated very strongly. More

This paper focuses on finding out the leading sectors with high potential to maintain and consolidate the comparative and competitive advantages of the Romania’s exports and analyses the change in the pattern of Romanian export specialisation by estimatin

The developing countries of Africa are in severe hunger of FDI inflows as these are receiving a meager 2.8 percent share of global FDI inflows and just 10 percent of aggregate FDI inflows to the developing world. The present study is an effort to examine the growth of FDI inflows to the two largest recipient regions of Africa, through the computation of compound annual growth rates by fitting an exponential function estimated by ordinary least square method. The study detected that during the last three decades, the growth of FDI inflows remained highest for Algeria and Cape Verde, in Northern Africa and West Africa respectively. Both these countries also remained ahead of the others, in their respective regions in growth of FDI as percentage of gross fixed capital formation. The forecasts of FDI inflows to the representative countries of North and West Africa have been generated by using Double Exponential Smoothing model for the period 2009 to 2020. The adequacy of the model is tested by computing autocorrelation coefficients and Ljung-Box Q statistics. The study revealed that in the ensuing decade, Egypt is expected to grow at the fastest pace as far as FDI inflows are concerned.

The authors test the hypothesis of procyclicality of banking sector results in the Baltic economies. Their estimates suggest that a slowdown in economic activity is likely to accelerate the growth of the nonperforming loan (NPL) ratio in the Baltics. They also support the hypothesis that a rapid growth of credit harms loan performance, most likely due to soft-loan constraints and macroeconomic overheating. Higher concentration in banking market coincides with relatively higher nonperforming loans. Compliance with the Basel core principles improves the quality of the loan portfolio.

In recent years there has been a growing interest in academics, international policy institutions and central banks1 in developing small-to-medium, even large-scale, open economy macroeconomic models called Dynamic Stochastic General Equilibrium (DSGE) models based on new-Keynesian framework.2 The term DSGE was originally used by Kydland and Prescott (1982) in their seminal contribution on Real Business Cycle (RBC) model. The RBC model is based on neoclassical framework with micro-founded optimisation behaviour of economic agents with flexible prices. One of the critical assumptions of this model is that fluctuations of real quantities are caused by real shock only; that is, only stochastic technology or government spending shocks play their role. Later research in DSGE models however included Keynesian short-run macroeconomic features (called nominal rigidities), such as Calvo (1983) type staggered pricing behaviour and Taylor (1980) type wage contracts. Hence this new DSGE modeling framework labeled as new-neoclassical synthesis or new-Keynesian modeling paradigm. 3 This new approach combines micro-foundations of both households and firms optimisation problems and with a large collection of both nominal and real (price/wage) rigidities that provide plausible short-run dynamic macroeconomic fluctuations with a fully articulated description of the monetary policy transmission mechanism; see, for instance, Christiano, et al. (2005) and Smets and Wouters (2003). The key advantage of modern DSGE models, over traditional reduce form macroeconomic models, is that the structural interpretation of their parameters allows to overcome the famous Lucas critique (1976).4 Traditional models contained equations linking variables of interest of explanatory factors such as economic policy variables. One of the uses of these models was therefore to examine how a change in economic policy affected these variables of interest, other things being equal. In using DSGE models for practical purposes and to recommend how central banks and policy institutions should react to the short-run fluctuations, it is necessary to first examine the possible sources,5 as well as to evaluate the degree of nominal and real rigidities present in the economy. In advanced economies, like US and EURO area, it is easy to determine the degree of nominal and real rigidities as these economies are fully documented. In developing economies like Pakistan, where most of economic activities are un-documented (also labeled as informal economy, black economy, or underground economy), it is very difficult to determine the exact degree of nominal and real rigidities present in the economy. However, one can approximate results using own judgments and through well defined survey based methods