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Driving factors of growth in Hungary - a decomposition exercise

Kátay, Gábor; Wolf, Zoltán - 2008

control for cyclical effects, we modify a standard technique in firmlevel production function estimation using a capacity …

Persistent link: https://www.econbiz.de/10010322437

A new method for combining detrending techniques with application to business cycle sychchronization of the new EU members

Darvas, Zsolt; Vadas, Gábor - 2005

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, such as transition countries. Despite their deficiencies, however, univariate detrending methods...

Persistent link: https://www.econbiz.de/10010322444

Estimating the effect of Hungarian monetary policy within a structural VAR framework

Vonnák, Balázs - 2005

A standard approach in measuring the effect of monetary policy on output and prices is to estimate a VAR model, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with Hungarian data. I compare two identification...

Persistent link: https://www.econbiz.de/10010322447

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

Credit to the private sector has been growing very rapidly in a number of Central and Eastern European countries in recent years. The main question is whether this dynamics is an equilibrium convergence process or may rather pose stability risks. Using panel econometric techniques, this paper...

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

factor, while the slope factor is mainly driven by risk premium and demand shocks. As for the direction of the responses …

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

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997 … can be calculated directly, without the estimation of RNDs, but which show strong co-movement with the central moments of … correlation with the central moments. We present evidence that risk-neutral densities do not provide accurate forecasts for the …

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

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

Kátay, Gábor - 2008

models imply that it is Pareto optimal for risk neutral firms to provide insurance to risk averse workers against shocks …. 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