aabfi=BOFIT Discussion Papers|
https://publications.bof.fi:443/handle/10024/47154
2023-09-06T06:10:43ZA castle built on sand : the effects of mass privatization on stock market creation in transition economies
https://publications.bof.fi:443/handle/10024/48384
A castle built on sand : the effects of mass privatization on stock market creation in transition economies
Fungáčová, Zuzana; Hanousek, Jan
This paper deals with the relationship between mass privatization and stock market development in transition economies.The link is investigated empirically using a panel of data that includes most transition countries.Our results confirm the hypothesis that mass privatization exerted a negative influence on stock market functioning over the short and medium term.Further, it appears that stock markets in countries with mass privatization were initially perceived as mere byproducts of the privatization process.Such stock markets typically not only failed in their core mission of providing capital for the corporate sector, but generated negative investor sentiment and did little to catalyze economic growth. JEL Classifications: G15, G28, P34 Keywords: privatization, mass privatization, emerging stock markets, stock market
2006-09-22T08:00:24ZA DSGE-based assessment of nonlinear loan-to-Value policies : Evidence from Hong Kong
https://publications.bof.fi:443/handle/10024/48163
A DSGE-based assessment of nonlinear loan-to-Value policies : Evidence from Hong Kong
Funke, Michael; Paetz, Michael
In the wake of the 2008-2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. One proactive approach, the use of loan-to-value (LTV) policies to curb booming property markets, has long been used by Hong Kong's monetary authorities to actively manage and mitigate the potential fallout from housing price bubbles. Here, we analyse the merits of this countercyclical macroprudential policy in a New Keynesian DSGE model. We conclude that nonlinear LTV policy rules implemented in reaction to episodes of high property price inflation can limit transmission of housing price cycle effects to the real economy. Keywords: Macroprudential policy, DSGE model, loan-to-value ratio, Hong Kong. JEL classification: C63, E21, E32, E69, F41.
2014-09-22T07:59:57ZA large Bayesian vector autoregression model for Russia
https://publications.bof.fi:443/handle/10024/48506
A large Bayesian vector autoregression model for Russia
Deryugina, Elena; Ponomarenko, Alexey
We apply an econometric approach developed specifically to address the ‘curse of dimensionality’ in Russian data and estimate a Bayesian vector autoregression model comprising 14 major domestic real, price and monetary macroeconomic indicators as well as external sector variables. We conduct several types of exercise to validate our model: impulse response analysis, recursive forecasting and counter factual simulation. Our results demonstrate that the employed methodology is highly appropriate for economic modelling in Russia. We also show that post-crisis real sector developments in Russia could be accurately forecast if conditioned on the oil price and EU GDP (but not if conditioned on the oil price alone). Publication keywords: Bayesian vector autoregression, forecasting, Russia
2014-12-15T14:16:12ZA meta-analysis of business cycle correlation between the euro area and CEECs : What do we know - and who cares?
https://publications.bof.fi:443/handle/10024/48300
A meta-analysis of business cycle correlation between the euro area and CEECs : What do we know - and who cares?
Fidrmuc, Jarko; Korhonen, Iikka
We review the literature on business-cycle correlation between the euro area and Central and Eastern European countries (CEECs), a topic that has gained attention in recent years as new EU entrants prepare for participation in the monetary union.Our meta-analysis suggests several CEECs already have comparably high correlation with the euro area business cycle.We also find that estimation methodologies can have a significant effect on correlation coefficients.While central bankers are more conservative in their estimates, we find no evidence of a geographical bias in the studies.JEL-Numbers: C42, E32, F15, F31.Key words: monetary union, optimum currency area, business cycles, meta- analysis.
2014-09-22T08:00:15ZA model of Russia's "virtual economy"
https://publications.bof.fi:443/handle/10024/48301
A model of Russia's "virtual economy"
Ericson, R.E.; Ickes, B.W.
The Russian Economy has evolved into a hybrid form, a partially monetized quasi-market system that has been called the virtual economy.In the virtual economy, barter and non-monetary transactions play a key role in transferring value from productive activities to the loss-making sectors of the economy.We show how this transfer takes place, and how it can be consistent with the incentives of economic agents.We analyze a simple partial-equilibrium. model of the virtual economy, and show how it might prove an obstacle to industrial restructuring and hence marketizing transition.
2014-09-22T08:00:15ZA monetary policy rule for Russia, or is it rules?
https://publications.bof.fi:443/handle/10024/48544
A monetary policy rule for Russia, or is it rules?
Korhonen, Iikka; Nuutilainen, Riikka
We estimate several monetary policy rules for Russia for the period 2003–2015. We find that the traditional Taylor rule describes the conduct of monetary policy in Russia reasonably well, whether coefficients are restricted to being the same or allowed to change over the sample period. We find that the Bank of Russia often overshot its inflation target and that extensive overshooting is associated with large depreciations of the ruble, testifying to the importance of the exchange rate in the conduct of monetary policy in Russia.
2016-02-16T08:26:07ZA Note on exchange rate pass-through in CIS countries
https://publications.bof.fi:443/handle/10024/48320
A Note on exchange rate pass-through in CIS countries
Korhonen, Iikka; Wachtel, Paul
We assess the extent and speed of exchange rate pass-through in the countries of the Commonwealth of Independent States (CIS).We do this in the framework of vector autoregressive regressions, utilising impulse functions and variance decompositions with monthly data that starts in 1999 in order to avoid periods of very high inflation and the Russian crisis.We find that exchange rate movements have a clear impact on price developments in the CIS countries.The speed of the pass-through is also fairly high: in most cases the full effect is transmitted into domestic prices in less than 12 months.Unlike in many other emerging market economies, an additional effect from US prices on to domestic prices is not significant.The extent of the exchange rate pass-through is usually much higher than in our benchmark group of emerging market countries.Variance decomposition shows that the relative share of exchange rates in explaining changes in domestic prices is higher in the CIS countries than in the benchmark group. Our results indicate that policy-makers in the CIS countries need to pay more attention to exchange rate movements than in many other emerging market countries.Key words: exchange rate pass-through, inflation, exchange rate regime, transition countries JEL: E31, E42, F31, F42
2014-09-22T08:00:17ZA note on foreign bank entry and bank corporate governance in China
https://publications.bof.fi:443/handle/10024/48321
A note on foreign bank entry and bank corporate governance in China
Hasan, Iftekhar; Xie, Ru
China employs a unique foreign bank entry model. Instead of allowing full foreign control of domestic banks, foreign investors are only permitted to be involved in the local banks as minority shareholders. At the same time, foreign strategic investors are expected to commit to bank corporate governance improvement and new technology support. In this context, the paper examines the effect of foreign strategic investors on Chinese bank performance. Based on a unique data set of bank ownership, performance, corporate governance and stock returns from 2003 to 2007, our regression and event study analysis results suggest that active involvement of foreign strategic investors in bank management have improved the corporate governance model of Chinese banks from a control based model to a market oriented model, and accordingly have promoted bank performance. JEL Classification Code: G21, G28, G34, F23 Keywords: China, Foreign Market Entry, Corporate Governance
2014-09-22T08:00:17ZA note on money creation in emerging market economies
https://publications.bof.fi:443/handle/10024/48546
A note on money creation in emerging market economies
Ponomarenko, Alexey
This paper discusses the money creation mechanisms in emerging markets with special focus on external transactions. We argue that one should not rule out the possibility that fluctuations in the loans-to-deposits and non-core liabilities ratios are driven by the banks. We also argue that, under a flexible exchange rate regime in which the central bank is not trying to accumulate foreign reserves, external transactions are unlikely to contribute significantly to money growth. To make our argument, we analyze a historical episode of these flows in Korea and Russia and conduct a canonical correlation analysis for a cross-section of emerging market economies.
2016-03-17T13:15:57ZA soft edge target zone model : Theory and application to Hong Kong
https://publications.bof.fi:443/handle/10024/48376
A soft edge target zone model : Theory and application to Hong Kong
Chen, Yu-Fu; Funke, Michael; Glanemann, Nicole
Hong Kong's currency is pegged to the US dollar in a currency board arrangement. In autumn 2003, the Hong Kong dollar appreciated from close to 7.80 per US dollar to 7.70, as investors feared that the currency board would be abandoned. In the wake of this appreciation, the monetary authorities revamped the one-sided currency board mechanism into a symmetric two-sided system with a narrow exchange rate band. This paper reviews the characteristics of the new currency board arrangement and embeds a theoretical soft edge target zone model typifying many intermediate regimes, to explain the notable achievement of speculative peace and credibility since May 2005. JEL-Classification: C61, E42, F31, F32 Keywords: currency board arrangement, target zone model, credibility, Hong Kong
2014-09-22T08:00:22ZA tale of two city-states : Novgorod and Pskov in the 1990s
https://publications.bof.fi:443/handle/10024/48393
A tale of two city-states : Novgorod and Pskov in the 1990s
Solanko, Laura; Tekoniemi, Merja
This paper examines two regions of the Russian Federation, Novgorod and Pskov, to compare how differences in economic policy affect economic development.Despite common histories, geography and natural resources, Novgorod committed early on to policies that would attract foreign investments in production.Pskov, on the other hand, withdrew into protectionist policies until it was clear that efforts to increase domestic and foreign investment levels were needed.Using available statistics, we consider the reasoning that led these regions down such distinctly different economic policy paths and consequences of these choices. Key words: Russia, regions, Novgorod, Pskov
2014-09-22T08:00:25ZA Ten-year retrospection of the behavior of Russian stock returns
https://publications.bof.fi:443/handle/10024/48398
A Ten-year retrospection of the behavior of Russian stock returns
Anatolyev, Stanislav
We study three aspects of the Russian stock market - factors influencing stock returns, integration of the stock market with world .financial markets, and market efficiency - from 1995 to present, putting emphasis on how these evolved over time.We .find many highly unstable relationships, and indeed, greater instability than that generated by financial crises alone.While most computed statistics exhibit constant ups and downs, there are recently clear tendencies in the development of the Russian stock market: a sharp rise in explainability of returns, an increased role of international financial markets, and a decrease in the profitability of trading. Key words: Russia, transition, stock returns, integration, efficiency. JEL codes: C22, F36, G14, G15
2014-09-22T08:00:25ZA ‘de Soto Effect’ in Industry? Evidence from the Russian Federation
https://publications.bof.fi:443/handle/10024/48464
A ‘de Soto Effect’ in Industry? Evidence from the Russian Federation
Pyle, William; Schoors, Koen
Russia's tremendous inter-regional variation in the pace of industrial land rights reform has meant that geography has helped determine the current tenure status of firms' production plots as much as any individual firm characteristics. By exploiting both this difference in the pace with which land reform has been carried out across Russia's federal subjects and a unique micro-level dataset, we present evidence strongly consistent with the proposition that more secure rights to land facilitate access to external financing. This finding is confirmed by other evidence from the survey that points to private land serving as an important source of collateral for Russian lenders and borrowers. JEL: 016, P25, P31, R14, R52 Keywords: industrial land, property rights, Russia, collateral
2011-11-22T08:00:34ZAccession countries' comparative advantage in the internal market : A trade and factor analysis
https://publications.bof.fi:443/handle/10024/48161
Accession countries' comparative advantage in the internal market : A trade and factor analysis
Kaitila, Ville
We analyse trade between Central and Eastern European (CEE) countries and the European Union during 1993-1998 using three methods.First, we calculate the share of intra-industry trade to determine the extent to which two countries trade in similar products.Second, we calculate similarity indices to determine the extent to which the structure of the exports of two countries is similar to a third country.Third, we calculate the revealed comparative advantage of CEE countries in the EU internal market and analyse the results in a two-dimensional space showing relative labour-skills and capital-intensity.We also depict how the factor intensity of comparative advantage has changed since 1993.With this last approach, we find that the comparative advantage of various CEE countries have developed in quite different directions. Some countries have evolved comparative advantage in industries requiring much skilled labour, while others have moved in the opposite direction.This differentiation is also reflected in degrees of capital intensity.A few CEE countries have not shifted in this two-dimensional space. Key words: EU, eastern enlargement, comparative advantage, factor intensity
2014-09-22T07:59:57ZAn "almost-too-late" warning mechanism for currency crises
https://publications.bof.fi:443/handle/10024/48272
An "almost-too-late" warning mechanism for currency crises
Crespo Cuaresma, Jesús; Slacik, Tomás
We propose exploiting the term structure of relative interest rates to obtain estimates of changes in the timing of a currency crisis as perceived by market participants.Our indicator can be used to evaluate the relative probability of a crisis occurring in one week as compared to a crisis happening after one week but in less than a month.We give empirical evidence that the indicator performs well for two important currency crises in Eastern Europe: the crisis in the Czech Republic in 1997 and the Russian crisis in 1998. Keywords: Currency crisis, term structure of interest rates, transition economies. JEL classi.cation: F31, F34, E43.
2007-09-22T08:00:11Z