Dynamics of a twocountry Kaldorian model of business cycles with fixed exchange rates: the case of Slovakia and the Czech Republic

The sovereign debt crisis of 2010 in the euro area significantly decelerated the monetary integration of the EU. The main purpose of this paper is to explore whether five post-communist member states of the EU are mature enough to adopt the euro. We used nominal exchange rates in the error correction model with asymmetric power ARCH (ECM-APARCH). Our results highlight that EU membership positively increased the impact of the euro on the currency of each of these countries in the short-run. In contrast, the long-term effect of the euro on each currency is negative for the Czech Republic, Hungary, and Croatia. Wholly different results were obtained for Poland and Romania. The APARCH model showed that the negative responses of the euro had a greater or neutral effect on the conditional variance of each currency instead of the positive responses. The debt crisis of the euro area had no impact on the dynamic linkages between the currencies. Our research concludes that Croatia, the Czech Republic, and Hungary are not ready to join the euro area in the near future. On the other hand, the currencies of Poland and Romania are already aligned with the fluctuations of the euro.

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Can business cycles arise in a two-regional model with fixed exchange rates?

Tatra Mountains Mathematical Publications ◽

10.2478/v10127-009-0032-7 ◽

2009 ◽

Vol 43 (1) ◽

pp. 123-135

Author(s):

Peter Maličká ◽

Rudolf Zimka

Keyword(s):

Business Cycles ◽

Exchange Rates ◽

Linear Approximation ◽

Capital Stock ◽

Sufficient Conditions ◽

Regional Model ◽

Dimensional Model ◽

Money Stock ◽

Fixed Exchange Rates ◽

Five Dimensional Model

Abstract The two-regional five dimensional model describing the development of income, capital stock and money stock, which was introduced by T. Asada in [A Two-regional Model of Business Cycles with Fixed ExchangeRates: A Kaldorian Approach, Discuss. Paper Ser., No. 44, Chuo University, Tokyo, Japan, 2003] is analysed. Sufficient conditions for the existence of one pair of purely imaginary eigenvalues and three eigenvalues with negative real parts in the linear approximation matrix of the model are found. Theorem on the existence of business cycles is presented.

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Spectral Analysis Of Business Cycles In The Visegrad Group Countries

Comparative Economic Research ◽

10.1515/cer-2017-0012 ◽

2017 ◽

Vol 20 (2) ◽

pp. 53-71 ◽

Cited By ~ 1

Author(s):

Arkadiusz Kijek

Keyword(s):

Spectral Analysis ◽

Czech Republic ◽

Business Cycles ◽

Business Cycle ◽

Fourier Analysis ◽

Traditional Approach ◽

The Czech Republic ◽

Precise Estimation ◽

The Business Cycle ◽

Visegrad Group

This paper examines the business cycle properties of Visegrad group countries. The main objective is to identify business cycles in these countries and to study the relationships between them. The author applies a modification of the Fourier analysis to estimate cycle amplitudes and frequencies. This allows for a more precise estimation of cycle characteristics than the traditional approach. The cross-spectral analysis of GDP cyclical components for the Czech Republic, Hungary, Poland and Slovakia makes it possible to assess the degree of business cycle synchronization between the countries.

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Measuring the business cycles similarity and convergence trends in the Central and Eastern European countries towards the Eurozone with respect to some unclear methodological aspects

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis ◽

10.11118/actaun201159020237 ◽

2011 ◽

Vol 59 (2) ◽

pp. 237-250 ◽

Cited By ~ 3

Author(s):

Petr Rozmahel

Keyword(s):

Czech Republic ◽

Business Cycles ◽

Short Note ◽

European Countries ◽

Eastern European ◽

The Czech Republic ◽

Euro Adoption ◽

World Economic ◽

Eastern European Countries ◽

Methodological Aspects

The adoption of Euro in Slovakia since January 2009 and current world economic crises revived a debate on timing of the Euro adoption in the Czech Republic and other Central and Eastern European countries. The purpose of the article is to contribute to a discussion on the process of joining the Eurozone by the Czech Republic and other candidate countries. The paper provides an analysis of few business cycle similarity and convergence measures using different indicators and detrending techniques. Measures of business cycles similarity are ordinarily used to evaluate preparedness of candidate countries to join the Eurozone. The results indicate continuing convergence of the business cycles similarity between the candidate and Eurozone member countries. The paper also sheds some light on possible influence of selected detrending techniques upon the resultant correlations. It gives a recommendation to interpret the results of business cycles correlation measuring in the close context with used methodology. A short note on a regional approach to analyse the GDP cycles is also included in a text.

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Spillover Effects Between Stock Prices and Exchange Rates for the Central and Eastern European Countries

Global Business Review ◽

10.1177/0972150919869772 ◽

2019 ◽

pp. 097215091986977 ◽

Cited By ~ 1

Author(s):

Ngo Thai Hung

Keyword(s):

Czech Republic ◽

Stock Market ◽

Exchange Rates ◽

Foreign Exchange ◽

Foreign Exchange Market ◽

Spillover Effects ◽

Eastern European ◽

Exchange Market ◽

The Czech Republic ◽

Crisis Period

This article attempts to empirically analyze the dynamic relationship and volatility spillover effects between exchange rates and stock returns of the five Central and Eastern European (CEE) countries (Hungary, Poland, the Czech Republic, Romania and Croatia) covering the period 2000–2017 by using the bivariate generalized autoregressive conditional heteroskedasticity-Baba, Engle, Kraft and Kroner (GARCH-BEKK) framework alongside with the constant and dynamic conditional correlation (CCC and DCC) models. The major findings reveal the following: bidirectional volatility spillovers between the two financial markets in Hungary, the Czech Republic and Croatia in the pre-crisis period; unidirectional spillover of volatility from the stock market to foreign exchange market for Poland during the sub-prime crisis period; unidirectional spillover of volatility from the foreign exchange market to the stock market for Hungary in the post-crisis period and Romania in the pre-crisis period; non-persistence volatility spillover between them in case of the Czech Republic, Romania and Croatia in the post-crisis period; the absence of volatility transmission from the stock market to foreign exchange market occurs in Hungary, while from the foreign exchange market to the stock market in case of Poland in the post-crisis period. We further find a short-lived but non-negligible financial contagion between stock and foreign exchange market in these countries. These empirical insights have significant implications for portfolio investments and currency risk hedging.

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Numerical Exploration of Kaldorian Macrodynamics: Hopf-Neimark Bifurcations and Business Cycles with Fixed Exchange Rates

Discrete Dynamics in Nature and Society ◽

10.1155/2007/98059 ◽

2007 ◽

Vol 2007 ◽

pp. 1-16 ◽

Cited By ~ 4

Author(s):

Toichiro Asada ◽

Christos Douskos ◽

Panagiotis Markellos

Keyword(s):

Business Cycles ◽

Exchange Rates ◽

Parameter Space ◽

Open Economy ◽

Capital Mobility ◽

Complex Dynamics ◽

Model Parameters ◽

Bifurcation Curve ◽

Fixed Exchange Rates ◽

The Stability

We explore numerically a three-dimensional discrete-time Kaldorian macrodynamic model in an open economy with fixed exchange rates, focusing on the effects of variation of the model parameters, the speed of adjustment of the goods marketα, and the degree of capital mobilityβon the stability of equilibrium and on the existence of business cycles. We determine the stability region in the parameter space and find that increase ofαdestabilizes the equilibrium more quickly than increase ofβ. We determine the Hopf-Neimark bifurcation curve along which business cycles are generated, and discuss briefly the occurrence of Arnold tongues. Bifurcation and Lyapunov exponent diagrams are computed providing information on the emergence, persistence, and amplitude of the cycles and illustrating the complex dynamics involved. Examples of cycles and other attractors are presented. Finally, we discuss a two-dimensional variation of the model related to a “wealth effect,” called model 2, and show that in this case,αdoes not destabilize the equilibrium more quickly thanβ, and that a Hopf-Neimark bifurcation curve does not exist in the parameter space, therefore model 2 does not produce cycles.

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