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Characterizing macroeconomic shocks in the CEECs

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Abstract

In this paper we analyze the nature of the shocks hitting the Central and Eastern European countries (CEECs) over the recent years. To this end, we first evaluate the relative importance of symmetric versus asymmetric shocks, and then extract their temporary component. Our final aim would be assessing the vulnerability of the CEECs to temporary and asymmetric shocks, which would be the most harmful case for the operation of a monetary union. Finally, a comparison with the case of the current EMU members is also presented.

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Notes

  1. All the data have been kindly seasonally adjusted for us by Vicente Esteve, using the US Census Bureau’s X11 seasonal adjustment program.

  2. Notice that, denoting as var and cov the variance and covariance, respectively:

    var (X 1 + X 2) = var (X 1) + var (X 2) + 2 cov (X 1, X 2)

    var (X 1 − X 2) = var (X 1) + var (X 2) - 2 cov (X 1, X 2) so that the standard deviation of (X 1 + X 2) will be higher (lower) than the standard deviation of (X 1 − X 2), provided that the covariance between X 1 and X 2 was positive (negative). In other words, the result obtained in Table 1 (i.e., that symmetric shocks would have been quantitatively more important than asymmetric shocks) would imply that the real GDP of each country would have been positively correlated with that of the euro zone.

Abbreviations

CEECs:

Central and Eastern European countries

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Acknowledgement

The authors wish to thank financial support from the Spanish Ministry of Education, through the project SEJ2005-08738–C02-01.

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Authors and Affiliations

  1. Department of Economics, Facultad de Derecho y Ciencias Sociales, Universidad de Castilla-La Mancha, Ronda de Toledo, s/n, 13071, Ciudad Real, Spain

    Oscar Bajo-Rubio & Carmen Díaz-Roldán

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  1. Oscar Bajo-Rubio
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  2. Carmen Díaz-Roldán
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Correspondence to Oscar Bajo-Rubio.

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Bajo-Rubio, O., Díaz-Roldán, C. Characterizing macroeconomic shocks in the CEECs. Econ Change 38, 227–234 (2005). https://doi.org/10.1007/s10644-006-9004-y

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