Economic Fluctuations in Central and Eastern Europe - the Facts
We carry out a detailed analysis of quarterly frequency dynamics in macroeconomic aggregates in twelve countries of Central and Eastern Europe. The facts we document include the variability and persistence in and the co-movement among output, and other major real and nominal variables. We find that consumption is highly volatile and government spending is procyclical. Gross fixed capital formation is highly volatile. Net exports are countercyclical. Imports are procyclical, much more than exports. Exports are most procyclical and persistent in open countries. Labor market variables are all highly volatile. Employment is lagging, and often procyclical. Real wages are dominantly procyclical. Productivity is dominantly procyclical and coincidental. Private credit is procyclical and dominantly lagging the cycle. The CPI is countercyclical, and is weakly leading or coincidental. The cyclicality of inflation is unclear, but its relative volatility is low. Net capital flows are mostly leading and procyclical and exhibit low persistence. Nominal interest rates are in general smooth and persistent. The nominal exchange rate is more persistent than the real one. Overall, we find that fluctuations in CEE countries are larger than in industrial countries, and are of similar size than in other emerging economies. This is particularly true about private consumption. The co-movement of variables, however, shows a large degree of similarity. A notable exception is government spending: unlike in industrial economies, it is rather procyclical in transition economies. The findings also indicate that Croatia and the accession group show broadly similar cyclical behavior to industrial countries. The most frequent country outliers are Bulgaria, Romania and Russia, especially in labor market, price and exchange rate variables. Excluding these countries from the sample makes many of the observed patterns in cyclical dynamics quite homogenous.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.mnb.hu/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Canova, Fabio, 1998.
"Detrending and business cycle facts,"
Journal of Monetary Economics,
Elsevier, vol. 41(3), pages 475-512, May.
- Harding, Don & Pagan, Adrian, 2002.
"Dissecting the cycle: a methodological investigation,"
Journal of Monetary Economics,
Elsevier, vol. 49(2), pages 365-381, March.
- Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
- Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Végh, 2005.
"When It Rains, It Pours: Procyclical Capital Flows and Macroeconomic Policies,"
in: NBER Macroeconomics Annual 2004, Volume 19, pages 11-82
National Bureau of Economic Research, Inc.
- Reinhart, Carmen & Kaminsky, Graciela & Vegh, Carlos, 2004. "When it rains, it pours: Procyclical capital flows and macroeconomic policies," MPRA Paper 13883, University Library of Munich, Germany.
- Graciela L. Kaminsky & Carmen M. Reinhart & Carlos A. Vegh, 2004. "When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies," NBER Working Papers 10780, National Bureau of Economic Research, Inc.
- C. Emre Alper, 2002. "Business Cycles, Excess Volatility, and Capital Flows: Evidence from Mexico and Turkey," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 38(4), pages 25-58, August.
- Artis, Michael J & Marcellino, Massimiliano & Proietti, Tommaso, 2004.
"Characterizing the Business Cycle for Accession Countries,"
CEPR Discussion Papers
4457, C.E.P.R. Discussion Papers.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, EconWPA.
- Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Working Papers 261, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Raphael Bergoeing & Raimundo Soto, 2002.
"Testing Real Business Cycle Models in an Emerging Economy,"
Documentos de Trabajo
126, Centro de Economía Aplicada, Universidad de Chile.
- Raphael Bergoeing & Raimundo Soto, 2005. "Testing Real Business Cycle Models in a Emerging Economy," Central Banking, Analysis, and Economic Policies Book Series, in: Rómulo A. Chumacero & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (S (ed.), General Equilibrium Models for the Chilean Economy, edition 1, volume 9, chapter 7, pages 221-260 Central Bank of Chile.
- Raphael Bergoeing & Raimundo Soto, 2002. "Testing Real Business Cycles Models in an Emerging Economy," Working Papers Central Bank of Chile 159, Central Bank of Chile.
- Raimundo Soto & Raphael Bergoeing, 2002. "Testing Real Business Cycle Models in an Emerging Economy," Documentos de Trabajo 219, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Michael A. Kouparitsas, 1997. "North-South terms of trade: an empirical investigation," Working Paper Series, Macroeconomic Issues WP-97-05, Federal Reserve Bank of Chicago.
- Christodoulakis, Nikos & Dimelis, Sophia & Kollintzas, Tryphon, 1993. "Comparisons of Business Cycles in Greece and the EC: Idiosyncracies and Regularities," CEPR Discussion Papers 809, C.E.P.R. Discussion Papers.
- Ahmed, S. & Ickes, B. & Wang, P. & Yoo, S., 1989.
"International Business Cycles,"
7-89-4, Pennsylvania State - Department of Economics.
- Artis, Michael J & Zhang, W, 1997.
"International Business Cycles and the ERM: Is There a European Business Cycle?,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 2(1), pages 1-16, January.
- Artis, Michael J & Zhang, Wenda, 1995. "International Business Cycles and the ERM: Is there a European Business Cycle?," CEPR Discussion Papers 1191, C.E.P.R. Discussion Papers.
- U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998.
"Historical evidence on business cycles: the international experience,"
Conference Series ; [Proceedings],
Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
- Bergman, U. Michael & Bordo, Michael D. & Jonung, Lars, 1998. "Historical Evidence on Business Cycles: The International Experience," SSE/EFI Working Paper Series in Economics and Finance 255, Stockholm School of Economics.
- Coricelli, Fabrizio & Ercolani, Valerio, 2002. "Cyclical and Structural Deficits on the Road to Accession: Fiscal Rules for an Enlarged European Union," CEPR Discussion Papers 3672, C.E.P.R. Discussion Papers.
- Jean-Pierre DANTHINE & John B. DONALDSON, 1991.
"Methodological and Empirical Issues in Real Business Cycle Theory,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
9102, Université de Lausanne, Faculté des HEC, DEEP.
- Pierre Danthine, Jean & Donaldson, John B., 1993. "Methodological and empirical issues in real business cycle theory," European Economic Review, Elsevier, vol. 37(1), pages 1-35, January.
- Danthine, J.P. & Donaldson, J.B., 1991. "Methodological and Empirical Issues in Real Business Cycle Theory," Papers fb-_91-11, Columbia - Graduate School of Business.
- Zsolt Darvas & György Szapáry, 2004. "Business Cycle Synchronisation in the Enlarged EU: Comovements in the New and Old Members," MNB Working Papers 2004/1, Magyar Nemzeti Bank (the central bank of Hungary).
When requesting a correction, please mention this item's handle: RePEc:mnb:wpaper:2005/02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maja Bajcsy)
If references are entirely missing, you can add them using this form.