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How much of the Macroeconomic Variation in Eastern Europe is Attributable to External Shocks?

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  • Bartosz Mackowiak

Abstract

We decompose by origin the sources of the variation in real aggregate output and aggregate price level in the Czech Republic, Hungary and Poland. We find that a sizable fraction of the variation is attributable to external shocks, especially so for aggregate price level. We show that euroarea interest rate shocks can account for a significant fraction of the external spillover effects. We conclude that theoretical models of advanced transition economies and policy rules for these economies should feature a prominent role for external shocks.

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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-061.

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Length: 33 pages
Date of creation: Oct 2005
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2005-061

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Keywords: Vector autoregression; Granger causal priority; transition economies; external shocks;

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Citations

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Cited by:
  1. Martin Feldkircher, 2013. "A Global Macro Model for Emerging Europe," Working Papers 185, Oesterreichische Nationalbank (Austrian Central Bank).
  2. Katarzyna Kubiszewska, 2013. "Economic Crisis in Croatia," Oeconomia Copernicana, Polskie Towarzystwo Ekonomiczne Oddzial w Toruniu, Wydzial Nauk Ekonomicznych i Zarzadzania UMK, vol. 2, pages 57-72.
  3. Slavov, Slavi T., 2008. "Measuring and modeling the effects of G-3 exchange rate fluctuations on small open economies: A natural experiment," Economic Systems, Elsevier, vol. 32(3), pages 253-273, September.

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