Politická ekonomie 2011, 59(3):291-309 | DOI: 10.18267/j.polek.792

Srovnání konvergence ekonomik ČR a vybraných zemí eurozóny na základě analýzy funkcí odezvy a nabídkových či poptávkových šoků

Roman Hušek, Tomáš Formánek
Vysoká škola ekonomická v Praze.

Comparing the Convergence of Czech Economy with Selected Euro Zone Members Using Impulse-Response Functions and Supply and Demand Shocks

Our paper focuses on the analysis of supply and demand shocks and on the estimation of expected costs of introducing Euro currency into Czech Republic (CR). The analysis is based on the theory of optimal currency areas by Mundell (1961, 1973) and uses a macroeconomic approach formalized by Bayoumi (1994). VAR models and the Blanchard-Quah decomposition (Blanchard and Quah, 1989) are used in order to simulate aggregated macroeconomic impulse response dynamics and to isolate supply and demand shocks for further inspection. Based on the analysis performed we conclude that given current circumstances and persistent differences in symmetry of economic shocks in CR and selected Euro zone countries, the costs from introducing the Euro to CR (as measured by fluctuations of real macroeconomic variables) would be nonzero, however presumably not significantly different from equivalent costs experienced in Austria or Slovakia (i.e. not prohibitive or signifi cantly damaging).

Keywords: impulse-response analysis, optimum currency area, VAR model, macroeconomic convergence, supply and demand shocks, Blanchard-Quah decomposition
JEL classification: C32, C65, E17, F36

Published: June 1, 2011  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Hušek, R., & Formánek, T. (2011). Comparing the Convergence of Czech Economy with Selected Euro Zone Members Using Impulse-Response Functions and Supply and Demand Shocks. Politická ekonomie, 59(3), 291-309. doi: 10.18267/j.polek.792
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. BAYOUMI, T. 1994. A Formal Model of Optimum Currency Areas. IMF Staff Papers. 1994, Vol. 41, No. 4, pp. 537-554. Go to original source...
    2. BENEŠ, J.; HLÉDIK, T.; VÁVRA, D.; VLČEK, J. 2003. The Quarterly Projection Model and its Properties. In: The Czech National Bank's Forecasting and Policy Analysis System. Praha: ČNB, 2003, pp. 63-97.
    3. BLANCHARD, O. J.; QUAH, D. 1989. The Dynamic Effects of Aggregate Demand and Supply Disturbances. American Economic Review. 1989, Vol. 79, No. 4, pp. 655-673.
    4. BORYS, M.; HORVÁTH, R.; FRANTA, M. 2009. The effects of monetary policy in the Czech Republic: an empirical study. Empirica. Springer, 2009. Vol. 36(4), pp. 419-443. Go to original source...
    5. DARVAS, Z. 2006. Monetary Transmission in the New EU Member States: Evidence from Time-Varying Coefficient Vector Autoregression. OENB Focus on European Economic Integration. 2006(1). pp. 140-156.
    6. DEMERTZIS, M.; HALLET, H. A.; RUMMEL O. 1997. Does a Core-Periphery Regime Make Europe into an Optimal Currency Area? In WELFENS, P. J. J.: European Monetary Union. Heidelberg, 1997. Go to original source...
    7. DEMERTZIS, M.; HALLET, H. A.; RUMMEL O. 2000. Is the European Union a Natural Currency Area, or is it Held Together by the Policy Makers? Weltwirtschaftliches Archives. 2000, Vol. 136, No. 4, pp. 657-679. Go to original source...
    8. DESMET, K. 2002. Asymetric Shocks, Risk Sharing and the Latter Mundell. Banco de Espaňa, Documento de Trabajo, 2002, No. 0222.
    9. ÉGERT, B.; MACDONALD, R. 2006. Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable. Magyar Nemzeti Bank Working Paper, 2006, No. 5. Go to original source...
    10. FIDRMUC, J.; HAGARA, E. 2004. Podobnosť ponukových a dopytových šokov v Európskej únii a v pristupujúcích krajinách. Politická ekonomie. 2004, Vol. 52, No. 2, pp. 171-182. Go to original source...
    11. FORMÁNEK, T. 2004. Srovnávací analýza konvergence ekonomiky ČR k eurozóně pomocí impulseresponse dynamiky. Acta Oeconomica Pragensia. 2004. č. 4. pp. 211-222. ISSN 0572-3043.
    12. GEWEKE, J.; MEESE, R.; DENT, W. 1983. Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence. Journal of Econometrics. 1983, Vol. 21, No. 2, pp. 161-194. Go to original source...
    13. GRANGER, C. 1969. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica. 1969, Vol. 37, pp. 24-36. Go to original source...
    14. HUŠEK, R. 2007. Ekonometrická analýza. Praha: VŠE, Nakladatelství Oeconomica. 2007. ISBN 987-80-245-1300-3.
    15. HUŠEK, R.; FORMÁNEK, T. 2006. Konvergence české ekonomiky k eurozóně a odhad nákladů přijetí eura v ČR. Statistika. 2006, No. 1, pp. 1-15. ISSN 0322-788x.
    16. CHAREMZA, W.; DEADMAN, D. 1992. New Directions in Econometric Practice. Cheltenham: Edward Elgar, 1992. ISBN 1-85898-603-6.
    17. MUNDELL, R. A. 1961. A Theory of Optimum Currency Areas. American Economic Review. 1961, Vol. 53, pp. 717-725.
    18. MUNDELL, R. A. 1973. Uncommon Arguments for Common Currencies. In JOHNSON, SWOBODA (eds.): The Economics of Common Currencies. London: Allen and Unwin, 1973.
    19. VAN MATRE, J. G.; GILBREATH, G. H. 1987. Statistics for Business and Economics. 3rd edition. Homewood, Illinois: Business Publications Inc., IRWIN, 1987. ISBN 0-256-03719-1.

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content