Focus on European Economic Integration Q4/11

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• Focus on European Economic Integration Q4/11 (PDF, 5.5 MB) December 2011.

Studies and Analyses

• Visiting Research Program (PDF, 1.6 MB) en Dec 31, 2011, 12:00:00 AM

• Developments in Selected CESEE Countries: Deteriorating External Demand and Rising Risk Aversion Increasingly Weigh on Growth in CESEE (PDF, 2.1 MB) Schreiner – Focus on European Economic Integration Q4/11 en Dec 31, 2011, 12:00:00 AM

• OeNB Conference on European Economic Integration 2011 – European Integration in a Global Economic Setting: CESEE, China and Russia (PDF, 1.7 MB) Ritzberger-Grünwald, Silgoner. Ritzberger-Grünwald, Silgoner – Focus on European Economic Integration Q4/11 en Dec 31, 2011, 12:00:00 AM

• Olga Radzyner Award Winners 2011 (PDF, 2.1 MB) en Dec 31, 2011, 12:00:00 AM

• 16th Global Economy Lecture: Richard Baldwin (PDF, 2.1 MB) Wörz. Wörz – Focus on European Economic Integration Q4/11 en Dec 31, 2011, 12:00:00 AM

• IMF Regional Economic Outlook: Europe – Navigating Stormy Waters (PDF, 1.7 MB) Lerner. Lerner – Focus on European Economic Integration Q4/11 en Dec 31, 2011, 12:00:00 AM

• Nonperforming Loans in CESEE – What Do They Comprise? (PDF, 2.3 MB) Barisitz. Barisitz – Focus on European Economic Integration Q4/11 This study attempts to shed comparative light on nonperforming loans (NPLs) by analyzing the loan classification systems in ten Central, Eastern and Southeastern European (CESEE) countries, namely Bulgaria, Croatia, the Czech Republic, Hungary, Poland, Romania, Russia, Serbia, Slovakia and Ukraine. Comparing NPL data across countries is often found to be difficult. Three approaches are used to identify a loan as nonperforming. First, the most widely known NPL definition, which is based on the IMF Financial Soundness Indicators (FSIs) Compilation Guide, is simple and clear: “principal or interest 90 days or more overdue.” The IMF strives to present cross-country comparative time series of NPL and other prudential indicators on the FSI website. With respect to nonperforming loans, the FSI website as yet lacks comprehensive data coverage, and comparability is in fact restrained. Therefore, we propose to take stock of national definitions, for which more extensive time series of data are available. Second, national supervisors’ NPL definitions mostly relate to the commonly used credit quality categories proposed by the Institute of International Finance (IIF), whose weakest three categories (“substandard – doubtful – loss”) are typically identified as nonperforming loans. Third, NPL definitions of CESEE and other countries regularly refer to the existence of a “well-defined weakness” of the loan or the borrower in addition to some other factors. Based on these criteria, with priority given to the 90days+ rule, we arrive at an NPL threshold, which includes in some cases NPL bands. We hope this threshold is applicable in such a way that it enables meaningful cross-country comparisons. Finally, the study takes a rough comparative snapshot of the development of NPLs (based on the derived threshold) in the CESEE countries from 2005 to 2010. en Bank lending, CESEE, credit quality, credit risk, financial soundness indicators, nonperforming loans G12, G21, G33 Dec 31, 2011, 12:00:00 AM

• Determinants of Foreign Currency Loans in CESEE Countries: A Meta-Analysis (PDF, 2.5 MB) Cuaresma, Fidrmuc, Hake. Cuaresma, Fidrmuc, Hake – Focus on European Economic Integration Q4/11 In this paper, we analyze the growing literature on determinants of foreign currency loans in the countries of Central, Eastern and Southeastern Europe (CESEE), applying a metaregression approach. We consider the seven most common determinants presented in the literature and aim at obtaining a more clear-cut picture behind various effects related to differences in methods and data characteristics. In our meta-analysis we apply two alternative estimation methods and identify exchange rate volatility, foreign currency deposits and the minimum variance portfolio (i.e. the ratio of inflation volatility to real exchange rate volatility) as the most robust determinants of foreign currency loans. Our findings indicate that the results reported in the literature are systematically influenced by model specification, the econometric methodology applied and the country samples included in the papers. en Central and Eastern Europe, foreign currency loans, metaregression, random effects maximum likelihood C5, E52, F31, O57, P20 Dec 31, 2011, 12:00:00 AM

• OeNB Euro Survey: Growing Uncertainty, but Overall Euroization Not Affected (PDF, 2.4 MB) Beckmann, Dvorsky, Scheiber. Beckmann, Dvorsky, Scheiber – Focus on European Economic Integration Q4/11 Based on descriptive evidence obtained from the latest OeNB Euro Survey, this contribution examines whether the widespread use of the euro among households in Central, Eastern and Southeastern Europe (CESEE) has been affected by the ongoing sovereign debt crisis in the euro area. Although households’ confidence in the euro has decreased substantially in all CESEE countries, it is still stronger than confidence in the respective local currencies in all countries except the Czech Republic. Despite this loss of trust in the euro, the relative weight of euro cash in the total economy is still substantial in several Southeastern European countries. Aggregate data on the development of foreign currency deposits in total deposits provide a mixed picture across countries. The overall degree of euroization – comprising cash holdings and deposits – has remained surprisingly stable in CESEE over time and has hardly been affected by the crisis in the euro area. Interestingly, in some countries the relative contribution of foreign currency deposits to overall euroization has increased against precrisis levels, whereas euro cash holdings have lost in relative importance. en Euroization, global financial crisis, portfolio decision, survey data, Central, Eastern and Southeastern Europe D14, E41, G01, G11 Dec 31, 2011, 12:00:00 AM

• CESEE-Related Abstracts from Other OeNB Publications (PDF, 2 MB) en Dec 31, 2011, 12:00:00 AM

• Statistical Annex (PDF, 1.8 MB) en Dec 31, 2011, 12:00:00 AM