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Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland

Author

Listed:
  • Markus Eller

    (Oesterreichische Nationalbank, Foreign Research Division)

  • Florian Huber

    (Vienna University of Economics and Business (WU))

  • Helene Schuberth

    (Oesterreichische Nationalbank)

Abstract

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.

Suggested Citation

  • Markus Eller & Florian Huber & Helene Schuberth, 2016. "Weathering global shocks and macrofinancial vulnerabilities in emerging Europe: Comparing Turkey and Poland," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-65.
    • Handle: RePEc:onb:oenbfi:y:2016:i:1:b:3
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    Cited by:

    1. Markus Eller & Florian Huber & Helene Schuberth, 2016. "Understanding the drivers of capital flows into the CESEE countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 79-104.

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    More about this item

    Keywords

    external vulnerabilities; international shock transmission; monetary policy shock; tapering; capital flows; GVAR; Turkey; Poland; CESEE;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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