Focus on European Economic Integration Q1/16

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• Focus on European Economic Integration Q1/16 (PDF, 2.2 MB) February 2016.

Studies and Analyses

• Call for entries: Olga Radzyner Award 2016 (PDF, 53 kB) Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• Call for applications: Visiting Research Program (PDF, 55 kB) Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• Modeling the evolution of monetary policy rules in CESEE (PDF, 823 kB) Feldkircher, Huber, Moder. Feldkircher, Huber, Moder – Focus on European Economic Integration Q1/16 In this paper we use a novel econometric approach to estimate time-varying monetary policy rules for four inflation-targeting economies in Central, Eastern and Southeastern Europe (CESEE). Our results indicate that monetary policy in the Czech Republic, Hungary, Poland and Romania is strongly anchored to inflation stabilization, which implies that these economies follow a comparatively strict version of inflation targeting. By contrast, there is less evidence for output stabilization playing an important role in the conduct of monetary policy. Other factors that are of relevance in the monetary policy reaction function include the short-term interest rate in the euro area and – depending on the country under consideration – a measure of exchange rate movements. We find that the coefficients on domestic inflation expectations and euro area interest rates have declined since the mid-2000s, but that they still play an important role in central banks’ reaction functions. This decline in the size of estimated coefficients may mirror an international environment characterized by loose and unconventional monetary policies that cannot be appropriately captured by euro area interest rates. It may also reflect contained global and domestic price growth. en time-varying parameter model, monetary policy, Taylor rule E58, E52, C11, C22 Feb 26, 2016, 12:00:00 AM

• A monetary policy rule for Russia, or is it rules? (PDF, 953 kB) Korhonen, Nuutilainen. Korhonen, Nuutilainen – Focus on European Economic Integration Q1/16 We estimate several monetary policy rules for Russia for the period 2003–2015. We find that the traditional Taylor rule describes the conduct of monetary policy in Russia reasonably well, whether coefficients are restricted to being the same or allowed to change over the sample period. We find that the Bank of Russia often overshot its inflation target and that extensive overshooting is associated with large depreciations of the ruble, testifying to the importance of the exchange rate in the conduct of monetary policy in Russia. en monetary policy rule, Taylor rule, McCallum rule, Russia, inflation E31, E43, E52, P33 Feb 26, 2016, 12:00:00 AM

• Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland (PDF, 651 kB) Eller, Huber, Schuberth. Eller, Huber, Schuberth – Focus on European Economic Integration Q1/16 While both Turkey and Poland weathered the 2008/2009 crisis relatively well compared to other countries in Central, Eastern and Southeastern Europe (CESEE), their macrofinancial indicators responded fairly strongly to the Federal Reserve System’s tapering announcement in May 2013. Among other things, marked currency depreciation and reversals in capital flows challenged policymakers in the region. To get a deeper understanding of the transmission of global shocks to macrofinancial variables in CESEE, we use a Bayesian global vector autoregressive model to investigate the effects of a U.S.-based monetary policy shock. Our simulation results suggest that both Turkey and Poland exhibit pronounced short- to medium-run macroeconomic responses to U.S. monetary policy shocks. The responses of Turkey tend to be somewhat stronger than those of Poland and the CESEE average, signaling the structurally different nature of the Turkish economy. Overall, the identified impulse responses largely resemble the actual post-tapering announcement developments. en external vulnerabilities, international shock transmission, monetary policy shock, tapering, capital flows, GVAR, Turkey, Poland, CESEE C32, F41, F44, E52 Feb 26, 2016, 12:00:00 AM

• CESEE-related abstracts from other OeNB publications (PDF, 84 kB) Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• 10th Conference of the South-East European Monetary History Network (SEEMHN) (PDF, 106 kB) Jobst, Scheiber – Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• 13th ESCB Emerging Markets Workshop (PDF, 133 kB) Huber – Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• IMF presents its fall report on CESEE Regional Economic Issues (REI): “Reconciling Fiscal Consolidation and Growth” (PDF, 105 kB) Lerner – Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• Kaushik Basu on “Globalization and the art of designing policy” – Summary of the 20th Global Economy Lecture (PDF, 70 kB) Wörz – Focus on European Economic Integration Q1/16 Feb 26, 2016, 12:00:00 AM

• Notes (PDF, 174 kB) Feb 26, 2016, 12:00:00 AM