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Fiscal divergence and business cycle synchronization: Irresponsibility is idiosyncratic

Darvas, Zsolt; Rose, Andrew K.; Szapáry, György - 2005

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, fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP)...

Persistent link: https://www.econbiz.de/10010322450

Credit growth in Central and Eastern Europe: Convergence or boom?

Kiss, Gergely; Nagy, Márton; Vonnák, Balázs - 2006

countries, disentangling the observed growth into an equilibrium trend and an excess (boom) component. In the paper the pooled … long run endogeneity affects the consistency. The estimations show that large part of the credit growth in new member … macroeconomic fundamentals. However, in Latvia and Estonia credit growth is found to be significantly faster than what would be …

Persistent link: https://www.econbiz.de/10010322455

The effect of the MNB's communication on financial markets

Gábriel, Péter; Pintér, Klára - 2006

Our paper aims to assess how the Magyar Nemzeti Bank’s communication affects financial asset prices. We find that the central bank plays the most important role in influencing long-term yields. The effect on the exchange rate is less pronounced, while short-term yields are influenced only by...

Persistent link: https://www.econbiz.de/10010322457

A joint macroeconomic-yield curve model for Hungary

Reppa, Zoltán - 2009

The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...

Persistent link: https://www.econbiz.de/10010322460

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: Test based on EUR/HUF option-implied densities

Csávás, Csaba - 2008

can be calculated directly, without the estimation of RNDs, but which show strong co-movement with the central moments of …

Persistent link: https://www.econbiz.de/10010322462

Do firms provide wage insurance against shocks? - Evidence from Hungary

Kátay, Gábor - 2008

. Using matched employer-employee dataset, I adopted the estimation strategy proposed by Guiso et al. (2005) to evaluate wage …

Persistent link: https://www.econbiz.de/10010322465

Testing the asset pricing model of exchange rates with survey data

Naszódi, Anna - 2011

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...

Persistent link: https://www.econbiz.de/10010322470

A structural empirical analysis of retail banking competition: The case of Hungary

Molnár, József; Nagy, Márton; Horváth, Csilla - 2006

In this paper we analyze the degree of competition in the Hungarian household credit and deposit markets. We estimate discrete-choice, multinomial logit deposit service and loan demand functions for each bank and calculate the corresponding price elasticities. Two models of the banking industry...

Persistent link: https://www.econbiz.de/10010322478

An estimated DSGE model of the Hungarian economy

Jakab, Zoltán M.; Világi, Balázs - 2008

monetary regime over the studied period is explicitly taken into account in the estimation procedure. A real-time adaptive …

Persistent link: https://www.econbiz.de/10010322479

Beating the random walk in Central and Eastern Europe by survey forecasts

Naszódi, Anna - 2011

This paper investigates the forecasting ability of survey data on exchange rate expectations with multiple forecast horizons. The survey forecasts are on the exchange rates of five Central and Eastern European currencies: Czech Koruna, Hungarian Forint, Polish Zloty, Romanian Leu and Slovakian...

Persistent link: https://www.econbiz.de/10010322480