Menu Expand

The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model

  1. Journals
  2. Economics, Finance, Business & Management
  3. Applied Economics Quarterly
  4. Vol. 66, Issue 4
  5. pp. 259–290

JOURNAL ARTICLE

Cite JOURNAL ARTICLE

Style
Golitsis, P., Bellos, S., Alexandridis, A. The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model. Applied Economics Quarterly, 66(4), 259-290. https://doi.org/10.3790/aeq.66.4.259
Golitsis, Petros; Bellos, Sotirios K. and Alexandridis, Anastasios "The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model" Applied Economics Quarterly 66.4, , 259-290. https://doi.org/10.3790/aeq.66.4.259
Golitsis, Petros/Bellos, Sotirios K./Alexandridis, Anastasios: The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model, in: Applied Economics Quarterly, vol. 66, iss. 4, 259-290, [online] https://doi.org/10.3790/aeq.66.4.259
Format
Download

The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model

Golitsis, Petros | Bellos, Sotirios K. | Alexandridis, Anastasios

Applied Economics Quarterly, Vol. 66 (2020), Iss. 4 : pp. 259–290

2 Citations (CrossRef)

Preview Login to order (PDF)

Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/aeq.66.4.259
Language
German
Pages
32
Keywords

Pricing

Individual
€ 26.00 (incl. local VAT if applicable)

Author Details

Petros Golitsis, corresponding author at: Business and Economics Department, City College, University of York Europe Campus, 3 Leontos Sofou Street, 546 26, Thessaloniki, Greece.

Sotirios K. Bellos, City College, University of York Europe Campus, Thessaloniki, Greece, and South Eastern Europe Research Centre, Thessaloniki, Greece.

Anastasios Alexandridis, City College, University of York Europe Campus, Thessaloniki, Greece.

Cited By

  1. Determinants of non-performing loans in North Macedonia

    Golitsis, Petros | Khudoykulov, Khurshid | Palanov, Savica

    Cogent Business & Management, Vol. 9 (2022), Iss. 1

    https://doi.org/10.1080/23311975.2022.2140488 [Citations: 5]

  2. Determinants of GDP Growth and Debt-to-GDP: A Comparative Study of Finland and Greece after Joining the European Monetary Union

    Yovchev, Radoslav | Golitsis, Petros | Khudoykulov, Khurshid

    Journal of East-West Business, Vol. (2024), Iss. P.1

    https://doi.org/10.1080/10669868.2024.2338139 [Citations: 0]

References

  1. Adu, R./Litsios, I./Baimbridge, M. (2019): “Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ),” Journal of International Financial Markets, Institutions and Money 59, 232–249.  Google Scholar
  2. Asongu, S. A. (2013): “Real and monetary policy convergence: EMU crisis to the CFA zone,” Journal of Financial Economic Policy 5(1), 20–38.  Google Scholar
  3. Baele, L./Ferrando, A./Hördahl, P./Krylova, E./Monnet, C. (2004): “Measuring European financial integration”. Oxford Review of Economic Policy 20(4), 509–530.  Google Scholar
  4. Baldwin, R./Wyplosz, C. (2012): The Economics of European Integration. Fourth edition, New York: McGraw Hill.  Google Scholar
  5. Belke, A. H./Osowski, T. U. (2019): “Measuring fiscal spillovers in EMU and beyond: A Global VAR approach”, Scottish Journal of Political Economy 66(1), 54–93.  Google Scholar
  6. Bordo, M. D./Johung, L./Markiewicz, A., (2013): “A fiscal union for the Euro: Some lessons from history,” CESifo Economic Studies 59, 449–488.  Google Scholar
  7. Brown, R. L./Durbin, J./Evans, J. M. (1975): “Techniques for Testing the Constancy of Regression Relationships Over Time (with discussion),” Journal of the Royal Statistical Society B 37, 149–163.  Google Scholar
  8. Caporaso, J. A./Kim, M. H., Durrett/W. N./Wesley, R. B. (2015): “Still a regulatory state? The European Union and the financial crisis,” Journal of European Public Policy 22(7), 889–907.  Google Scholar
  9. Chan, J. C. (2020): “Large Bayesian VARs: A flexible Kronecker error covariance structure,” Journal of Business & Economic Statistics 38(1), 68–79.  Google Scholar
  10. Chudik, A./Pesaran, M. H. (2014): “Theory and Practice of GVAR Modeling,” Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute. Working Paper No. 180.  Google Scholar
  11. Cruz, M. (2015): “International reserves and growth: assessing the mercantilist motive in Latin America,” Journal of Post Keynesian Economics 37(3) 481–502.  Google Scholar
  12. Daianu, D./D’Adda, C./ Basevi, G./ Kumar, R. (eds) (2014): The eurozone crisis and the future of Europe: The political economy of further integration and governance, Palgrave Macmillan.  Google Scholar
  13. Dees, S./Di Mauro, F./ Pesaran, M. H./Smith, V. (2007): “Exploring the international linkages of the Euroarea: A Global VAR analysis,” Journal of Applied Econometrics 22(1), 1–38.  Google Scholar
  14. Dixit, A./Lambertini, L. (2003): “Interactions of commitment and discretion in monetary and fiscal policies,” American Economic Review 93, 1522–1542.  Google Scholar
  15. Dragomirescu-Gaina, C./Philippas, D. (2015): “Strategic interactions of fiscal policies in Europe: A global VAR perspective,” Journal of International Money and Finance 59, 49–76.  Google Scholar
  16. Dubois, E./Hericourt, J./Mignon, V. (2009): “What if the euro had never been launched? A counterfactual analysis of the macroeconomic impact of euro membership,” Economics Bulletin 29, 2241–2255.  Google Scholar
  17. Esposito, P. (2017): “Trade creation, trade diversion and imbalances in the EMU,” Economic Modelling 60, 462–472.  Google Scholar
  18. Fadejeva, L./Feldkircher, M./Reininger, T. (2017): “International spillovers from Euro area and US credit and demand shocks: A focus on emerging Europe,” Journal of International Money and Finance 70, 1–25.  Google Scholar
  19. Fecht, F./Grüner, H. P./Hartmann, P./Duca, M. L. (2009): “Financial Globalization and Stability,” in: D. S. Hoelscher and G. G. Kaufman (eds), World Scientific Publishers.  Google Scholar
  20. Frankel, J./Wei, S-J. (2008): “Estimation of De Facto Exchange Rate Regimes: Synthesis of the Techniques for Inferring Flexibility and Basket Weights,” IMF Staff Papers 55:3, 384–416.  Google Scholar
  21. Frankel, J./Wei, S-J. (1994): “Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian. Economies, in Macroeconomic Linkages: Savings, Exchange Rates, and Capital Flows,” in: T. Ito and A. Krueger (eds), Chicago: University of Chicago Press, 295–329.  Google Scholar
  22. Georgiadis, G. (2016): “Determinants of global spillovers from US monetary policy,” Journal of international Money and Finance 67, 41–61.  Google Scholar
  23. Georgiadis, G. (2015): “Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model,” European Economic Review 75, 195–215.  Google Scholar
  24. Golitsis, P. (2018): “Interactions of Monetary Policies in South East Europe in a European Monetary Union Context. A Global-Vector Autoregressive Model,” doctoral dissertation, University of Sheffield.  Google Scholar
  25. Golitsis, P./Bellos, S. K./Fassas, A. P./Demiralay, S. (2021): “The Spillover Effect of Euribor on Southeastern European Economies: A Global VAR Approach,” Journal of East-West Business 27(1), 57–91.  Google Scholar
  26. Hájek, J./Horváth, R. (2016): “The Spillover effect of euro area on central and Southeastern European economies: a global VAR approach,” Open Economies Review 27(2), 359–385.  Google Scholar
  27. Harbo, I./Johansen, S./Nielsen, B./Rahbek, A. (1998): “Asymptotic Inference on Cointegrating Rank in Partial Systems,” Journal of Business and Economic Statistics 16, 388–399.  Google Scholar
  28. Holtemöller, O. (2005): “Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries,” International Economics and Economic Policy 2(1), 33–63.  Google Scholar
  29. Jarociński, M./Marcet, A. (2019): “Priors about observables in vector autoregressions,” Journal of Econometrics 209(2), 238–255.  Google Scholar
  30. Johansen, S. (1992): “Determination of Cointegration Rank in the Presence of a Linear Trend,” Oxford Bulletin of Economics and Statistics 54(3). https://doi.org/10.1111/j.1468-0084.1992.tb00008.x.  Google Scholar
  31. Josifidis, K./Allegret, J-P./Gimet, C./Pucar, E. B. (2014): “Macroeconomic policy responses to financial crises in emerging European economies,” Economic Modelling 36, 577–591  Google Scholar
  32. Kadiyala, K. R./Karlsson, S. (1997): “Numerical Methods for Estimation and Inference in Bayesian VAR-Models,” Journal of Applied Econometrics 12(2), 99–132.  Google Scholar
  33. Kilian, L./Lütkepohl, H. (2017): Structural vector autoregressive analysis. Cambridge University Press.  Google Scholar
  34. Koop, G./Pesaran, M. H./Potter, S. M. (1996): “Impulse response analysis in nonlinear multivariate models,” Journal of Econometrics 74, 119–147.  Google Scholar
  35. Koukouritakis, M./Papadopoulos, A. P./Yannopoulos, A. (2015): “Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis,” Economic Modelling 48, 129–154.  Google Scholar
  36. Krugman, P. (2015): “The Euroskeptic vindication,” New York Times, July 19.  Google Scholar
  37. Lothian, J. (2002): “The internationalization of money and finance and the globalization of financial markets,” Journal of International Money and Finance 21(6), 699–724.  Google Scholar
  38. Marcal, E. F./Zimmermann, B./Prince, D. D./Merlin, G. T. (2014): “Assessing interdependence among countries’ fundamentals and its implications for exchange rate misalignment estimates. An empirical exercise based on GVAR,” Available at SSRN: http://dx.doi.org/10.2139/ssrn.2364508  Google Scholar
  39. Maveyraud-Tricoire, S./Rous, P. (2009): “RIP and the shift toward a monetary union: Looking for a ‘euro effect’ by a structural break analysis with panel data,” Journal of International Financial Markets, Institutions and Money 19, 336–350.  Google Scholar
  40. Michaelides, P. G./Tsionas, E. G./Konstantakis, K. N. (2018): “Debt Crisis in Europe (2001–2015): A Network General Equilibrium GVAR approach,” MPRA Paper No. 89998.  Google Scholar
  41. Mills, T. C. (2019): Applied time series analysis: A practical guide to modeling and forecasting. Academic press.  Google Scholar
  42. Mishkin, F. (1996) “The Channels of Monetary Transmission: Lessons for Monetary Policy,” National Bureau of Economic Research. NBER Working Paper 5464, 1–27.  Google Scholar
  43. Mundell, R. A. (1961): “A Theory of Optimum Currency Areas,” American Economic Review 51 (4), 657–665.  Google Scholar
  44. Newey, W. K./West, K. D. (1987): “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica 55, 703–708.  Google Scholar
  45. Orlowski, L. (2003): “Monetary convergence and risk premiums in the EU accession countries,” Open Economies Review 14(3), 251–267.  Google Scholar
  46. Park, H. J./Fuller, W. A. (1995): “Alternative Estimators and Unit Root Tests for the Autoregressive Process,” Journal of Time Series Analysis 16, 415–429.  Google Scholar
  47. Pesaran, M. H. (2014): “Theory and Practice of GVAR Modelling”, University of Southern California, Center for Applied Financial Economics (CAFE) Research Paper Series No. 14.04.  Google Scholar
  48. Pesaran, M. H./Schueramann, T./Weiner, S. M. (2004): “Modelling Regional Interdependencies using a Global Error-Correcting macroeconomic model,” Journal of Business and Economic Statistics 22(2), 129–162.  Google Scholar
  49. Pesaran, M. H./Shin, Y. (1998): “Generalized impulse response analysis in linear multivariate models,” Economics Letters 58, 17–29.  Google Scholar
  50. Pesaran, M. H./Shin, Y./Smith, R. (2000): “Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables,” Journal of Econometrics 97, 293–343.  Google Scholar
  51. Pesaran, M. H./Smith, L. V./Smith, R. (2007): “What if the UK or Sweden had joined the euro in 1999? An empirical investigation using a global VAR,” International Journal of Finance and Economics12, 55–87.  Google Scholar
  52. Ploberger, W./Krämer, W. (1992): “The CUSUM test with OLS residuals,” Econometrica 60, 271–286.  Google Scholar
  53. Pritsker, M. (2001): “The Channels for Financial Contagion,” in: S. Claessens and K. Forbes (eds), International Financial Contagion, Boston, MA: Kluwer Academic Publishers, 67–97.  Google Scholar
  54. Ricci, L. A. (2008): “A Model of an Optimum Currency Area,” Economics: The Open-Access, Open-Assessment E-Journal 2 (8), 1–31.  Google Scholar
  55. Saving, J. L. (2006): “Integration and Globalization: The European Bellweather,” Economic Letter 1, 1–8.  Google Scholar
  56. Smith, L. V./Galesi, A. (2014): GVAR Toolbox 2.0. User Guide.  Google Scholar
  57. Slavov, S. T. (2019): “Exchange Rate Regimes in Central, Eastern, and Southeastern Europe,” Journal of Economic Integration 34(3), 395–425.  Google Scholar
  58. Stock, J. H./Watson, M. W. (1996): “Evidence on Structural Instability in Macroeconomic Time Series Relations,” Journal of Business and Economic Statistics 14, 11–30.  Google Scholar
  59. Sun, Y./Heinz, F. F./Ho, G. (2013): “Cross-country linkages in Europe: a global VAR analysis,” IMF Working Paper 13/94, International Monetary Fund.  Google Scholar
  60. Vespignani, J. (2015): “International transmission of monetary shocks to the Euro area: Evidence from the U.S., Japan and China,” Economic Modelling 44, 131–141.  Google Scholar
  61. Weyerstrass, K./Jaenicke, J./Neck, R./Haber, G./Van Aerle, B./Schoors, K./Gobbin, N./Claeys, P. (2006): “Economic spillovers and policy coordination in the Euro Area,” European Economy, Economic Papers 246, European Commission, Brussels, March.  Google Scholar
  62. White, H., (1980): “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” Econometrica 48, 817–838.  Google Scholar
  63. In order to produce the foreign variables (star variables) of the G-VAR model the following Trade and Aggregation Weight Matrix is used:  Google Scholar

Abstract

In this paper, we empirically investigate the spillovers of Real Effective Exchange rate of European Monetary Union (EMU-REER) on Industrial Production, Real Effective Exchange rate, Foreign Reserves and interest rates for the South Eastern European (SEE) economies of Bulgaria, Croatia, Greece, North Macedonia, Romania, and Slovenia, using monthly data over 2002–2016. In a global vector autoregressive framework with EMU-REER as a global variable, we show that the EMU variable has a lasting impact on the SEE variables and economies. Specifically, we provide strong evidence that this impact of EMU-REER is not only of a greater importance compared to the importance of the domestic variables, but also that it negatively affects the competitive stance of the investigated SEE economies, which is partly compensated by the lower interest rates that certain SEE countries face in return. Our results offer potential policy implications with respect to monetary policy coordination and discretion.

Table of Contents

Section Title Page Action Price
Petros Golitsis / Sotirios K. Bellos / Anastasios Alexandridis: The EMU-REER Spillovers on Southeastern European Economies: A G-VAR Model 1
Abstract 1
1. Introduction 1
2. Literature Review 3
3. Transmission Mechanism 6
4. Data and Empirical Methodology 7
4.1 Variables and Data Sources 7
4.2 The G-VAR model 9
4.2.1. Weak Exogeneity 1
4.2.2 Robustness Tests of the G-VAR and the Relative Eigenvalues 1
4.2.3 The Effects of Foreign Variables on the Corresponding Domestic Ones and the Pairwise Cross-Section Correlations 1
4.2.4 Generalized Impulse Response Functions (GIRFs) 1
5. Empirical Results and Discussion 1
6. Concluding Remarks 2
References 2
Appendix 2
Trade Weight Matrix 2
Unit Root Tests 2
Specification and Estimation of the Country-Specific Models 2
Robustness checks 2
1. Testing Weak Exogeneity 2
2. Testing Structural Stability, Persistent Profiles and Bootstraps 3
3. Pair-Wise Cross-Section Correlations: Variables and Residuals 3

Contact

Duncker & Humblot GmbH Carl-Heinrich-Becker-Weg 9 12165 Berlin, Deutschland T: +49 30 790006-0

Quick Navigation

2024 Duncker & Humblot GmbH

Powered by CloudPublish

We use cookies to ensure that you get the best experience on our website. Learn more about how we use cookies.