Mezinárodní ekonomie vybrané problémy s aplikací na nové členské země EU Luboš Komárek přednáška pro studenty doktorského studia Ostrava, Ekonomická fakulta VŠB-Ostrava, 10. listopad 2005
Presentation outline • (I.) Recent economic development in EU 8 • (II.) Measuring Optimum Currency Area Indices: The Costs of Euro Adoption in the Czech Republic • (III.) Institutional Framework of Exchange Convergence Process - Choices for the Candidate Countries • (IV.) A Comparison of Experiences from Member States of the European Union • (V.) A Comparison of Experiences from Selected Candidate Countries of the European Union • (VI.) Equilibrium real exchange rate • (VII.) Monetary policy and assets markets • (VIII.) Current MP policy 2
I. Recent Economic Development in the EU 8
3
Figure 1: Average nominal exchange rates in the EU 8 (growth rate, % p.a.)
20
appreciation
15 10 5 0 -5
1993:Q1-1999:Q4 CR
H
P
2000:Q1-2004:Q1 SR
SL
E
LA
LI
• NER are behave in average similarly, expect the Hungarian and Polish case • the Czech and Slovak koruna were very stable in nominal terms (expect two short periods)
4
Figure 2: Average real exchange rates in the EU 8 countries (growth rate, % p.a.) 1993:Q1-1999:Q4
2000:Q1-2004:Q1
0 -5 -10
appreciation
-15 -20 CR
H
P
SR
SL
E
LA
LI
• RER appreciation was for Baltic States much weaker in the second period than in the first one • Currencies of the CEC appreciate in real terms and in average similarly (expect Poland in the 2nd period)
5
Figure 3: Average inflation rate in the EU 8 countries (% p.a.) 30 25 20 15 10 5 0 1994:Q1-1999:Q4 CR
H
P
2000:Q1-2004:Q1 SR
SL
E
LA
LI
• inflation went down rapidly in all EU8 countries
6
Figure 4: The overall price levels in the EU 8 countries (EU 15 = 100)
80 60 40 20 0 1995 CR
H
2002 P
SR
SL
E
LA
LI
• price level in all countries are still under 60 % of the EU (expect Slovenia)
7
Figure 5: Average real GDP growth in the EU 8 countries (national currencies / euros)
16 12 8 4 0 1996-2003 (nat. currencies) CR
H
P
SR
1996-2003 (euros) SL
E
LA
LI
EU 15
• GDP growth is higher in all EU 8 countries then the average of the EU (but perhaps less then was expected in the beginning of transformation) • GDP growth in “prospective common currency” (euro) is stronger - one can observe much faster convergence
8
Figure 6: Average real GDP per capita in the EU 8 countries (in euros)
20000 15000 10000 5000 0 1995 CR
H
2003 P
SR
SL
E
LA
LI
EU-15
• illustration of the “Penn effect” proposed by Samuelson (1994) - the higher the per capita income, the higher the relative price level in the economy • still huge gap between the EU 8 and former EU 15 exists
9
Figure 7: Real interest rates differential between the EU 8 countries and Germany (%) 1
0
3
0
5
4
0 10
0
8
14
-4 -8
19
9
5
11
10
LA
LI
16 17
-12 CR
H
P
SR
SL
E
• Strong convergence in nominal and real terms (figure 7 only real rates); • The nominal rates are still higher in Poland; • For considerable number of periods the real interest differential were below zero - it happened quite often in all EU 8 (expect Slovenia) - see small numbers
10
Figure 8: The development of government spending to nominal GDP in the EU 8 (%)
3 2.5 2 1.5 1 1995:Q1 CR
H
2004:Q1 P
SR
SL
E
LA
LI
• Government spending decreased in all EU 8 states (necessary condition for the movement towards the market economy); • Currently (2004:Q1) government spending are very similar in levels over the nominal GDP in all EU 8 countries (relatively lower are for Hungary and slightly higher for the Czech Republic). 11
(II.) Measuring Optimum Currency Area Indices: The Costs of Euro Adoption in the Czech Republic
12
A Survey of Regional Monetary Unions
Table 2.1 – Monetary Unions Out of Europe MONETARY UNION
CURRENCY
Eastern Eastern Caribbean dollar (is Caribbean Currency Area pegged to the USD, prior to 1976 it (1950) had been pegged to GBP) Central African Economic Franc de la coopération financiére en and Monetary Community Afrique centrale (it has been pegged (1945) to FRF and now to EUR) (i) Franc de la communauté financiére West Africa Economic and d´Afrique (it has been pegged to FRF, Monetary Union (1945) and now to EUR) (ii)
CENTRAL BANK Eastern Caribbean Currency Authority (1950-1982) Eastern Caribbean central bank (1983) Banque des Etats de I´Afrique Banque Centrale des Etats de l´Afrique de l´Auest
Note: (i) and (ii) are commonly called the CFA Franc.
13
Table 2.2 – Current Directions and Discussions of Creating New Monetary Unions Potential Monetary Unions / Enlargement of Current Monetary Unions EUROPE
COUNTRY
FURTHER INFORMATION
Current Eurozone (12) + country out of Eurozone (3) + candidate countries (10) (i)
See: Http://europa.eu.int
EAST AFRICA
Kenya, Tanzania, Uganda
Signed a treaty (in 1999) forming an economic block and monetary union, which is reviving their former currency union - see for example Mkenda (2001).
WEST AFRICA
Economic Community of West African States (ECOWAS, i. e.: Benin, Burkina Faso, GuineaBissau, Mali, Niger, Cote d’Ivoire , Senegal and Togo) + Gambia, Ghana, Guinea, Liberia, Nigeria a Sierra Leone
Declared (in April 2000) the intention to form a broader monetary union. Monetary union of ECOWAS countries would be created in 2004 – see for example Masson and Pattilo (2001).
14
ARABIAN GULF
ASIA
Gulf Co-operation Council (Bahrain, Qatar, Kuvait, Oman, Saudi Arabia and United Arab Emirates)
Announced in early 2002, a custom union by 2003 and a plan for a common currency by 2010. New currency, possibly to be called the Gulf dinnar, will be established, and is likely to be pegged to USD – see for example Jadresic (2000).
Leaders of ASEAN endorsed (in December 1988) ASEAN (Brunei, Burma, a project to study the feasibility of their currency, Cambodia, Indonesia, Laos, “ASEAN currency” – see for example Yam Malaysia, Philippines, Singapore, (1999). Thailand and Vietnam) Monetary integration among: (a)
AUSTRALIA Australia and New Zealand or (b) AND NEW ZEALAND adopting the Australian(ii)dollar by
For example Coleman (2001) provides a discussion of suggestion for an „Anzac dollar“.
New Zealand
SOUTH AMERICA
MERCOSUR (Argentina, Brazil, Paraguay and Uruguay) + associate members (Bolivia and Chile)
Two discussed strategies: (i) the common currency adopted would be the USD or (ii) to create the regional “Mercosur” currency. Currently, due to crisis in Argentina this project is more medium term oriented.
NORTH AMERICA
NAFTA (Canada, Mexico and USA)
Given the high proportion of Canada and Mexico’s trade with US, a NAFTA dollar or “Amero” has been proposed e.g. by Grubel (1999).
Note: (i) 10 countries are officially called as the “accession countries”, i.e.: Cyprus, Malta, the Czech Republic, Slovakia, Poland, Hungary, Slovenia, Estonia, Latvia, Lithuania, Bulgaria, Romania and Turkey); (ii) The economy of Australia is roughly seven times bigger than the economy of New Zealand.
15
Review of the OCA theory • •
Friedman (1953) - view on floating ER; Mundell (1961) - his model of an asymmetric shift in demand of two countries stressed that optimum currency area can differ form the actual currency area and offered some non-exchange rates means for adjustment as labour mobility, nominal flexibility and fiscal transfers;
• •
McKinnon (1963) Kenen (1969)
• •
Ingram (In: Kawai, 1987) McKinnon (2000) - presents a neo-Keynesian model (elimination of the effect of
extended the list of non-exchange rates means for adjustment (financial integration, openness and national product diversification);
shocks by national monetary and fiscal policies + downward sloping and stable Phillips curve);
•
Mundell (1973a, 1973b) - which bring completely different argumentation
•
concerning the optimum currency area; others: Frankel and Rose (1998 a, b), Krugman (1993), De Grauwe (1997), Rodrick (2000), Fidrmuc (2001), etc. 16
Mundell model of asymmetric demands (monetary area = optimal monetary area)
Země A
Země B
P
P AS
AS
AD
AD´ AD
AD´
Y
Y
Solution: floating exchange rate 17
Mundell model of asymmetric demands (monetary area ≠ optimal monetary area)
West AD↓
East AD↑
West
East
AD↓
AD↑
Solution: 1) Flexibility of wages 2) Labour mobility 3) Fiscal policy
18
Does Trade Integration Lead to the Divergence of the Economies? European Commission
D I v e r g e n c e
Krugman
D I v e r g e n c e
Integration
Integration
19
OCA Theory and Eurozone •
•
Empirical studies focus on four relationships: (i) degree of labour mobility, (ii) the system of fiscal transfers, (iii) the extent of trade and the similarity of shocks and (iv) business cycles
2.2.1 Ex Post Even if Not Ex Ante? – Frankel and Rose (1989 a,b) argue that the higher trade integration the higher the correlation of business cycles among countries and business cycles and trade integration are inter-related and endogenous processes to establishing a currency union; countries may fulfil the OCA criteria ex post, although they did not fulfil them ex ante – Fidrmuc (2001) - intensity of intra-industry trade and its positive impact on the synchronisation of business cycles;
•
2.2.2 Methodological Problems of Measurement – problems: to measure symmetry of shocks (demand or supply shocks?), (persistent of transitory shocks?) and how to distinguish between shocks and reactions on them; transaction costs, lack of credibility…..
•
2.2.3 Other Empirical Findings • Bayoumi and Eichengreen (1993) find relatively high symmetry of shocks in the socalled core of the EU and lower for other western European countries. • Probability of asymmetric shocks is higher in Eurozone than in USA but for some Eurozone countries this probability can be close to that of USA. 20
The OCA Theory and the Czech Republic •
2.3.1 Relevance of OCA Theory to the Exchange Rate Regimes – OCA theory attempts to give an answer to the choice of the regime (can distinguish only between pure float and pure fix ER regime); – Czech Republic faced strong asymmetric shocks with Germany at the beginning of the 1990s ⇒ the OCA would suggest the the right choice is the FLOATING ER – Low financial integration with western European trading partners and relatively high openness of the Czech economy is an argument to FIXED ER (import of credibility in the SR) in order to eliminate potentially high volatility in financial markets – WE CAN SEE THAT THE OCA THEORY DOES NOT HAVE OPERATIONAL PRECISION FOR DECISION MAKING PROCESS IN THE SHORT-TERM AND THAT IS THE LONG RUN THEORY; – NEVERTHELESS, EVEN IF THE OCA THEORY IS NOT OPERATIONALLY PRECISE, WE SUGGEST TO MONITOR SO CALLED THE OCA CRITERIA;
21
SD(eij) = -0,09 + 1,46SD(∆yi-∆yj) + 0,22DISSIM + (0,02)
(0,21)
(0,006)
- 0,054TRADE + 0,012SIZE, (0,006)
(2.1)
(0,001)
SD(eij) - the standard deviation of the change in the logarithm of the end year bilateral nominal exchange rate between countries i and j SD(∆yi-∆yj) - the standard deviation of the difference in the logarithm of real output between countries i and j DISSIMij - the sum of the absolute differences in the shares of agricultural, mineral and manufacturing trade in total merchandise trade TRADEij - the mean of the ratio of bilateral export to domestic GDP for the two countries SIZEij - the mean of the logarithm of the two GDPs measured in USD These four variables represent basic OCA criteria and it is believed that the lower the volatility of exchange rates is among countries, the more they are prepared to join the monetary union. 22
Table 2.3 – OCA Index, Structural Similarity with Germany Exchange rate variability Data/ Country Czech Republic Austria Portugal
Nominal
Real
Nominal
Real
Nominal
Nominal
Europe
Europe
World
World
World
World
0.022 0.006 0.022
0.071 0.057 0.072
0.193 0.185 0.201
0.194 0.187 0.202
0.023 0.003 0.029
0.035 0.008 0.062
Source: Bayoumi and Eichengreen (1997a, 1998a), Cincibuch and Vávra (2001), own calculations.
Table 2.4 – OCA Index, Structural Similarity with EU Exchange Rate Nominal Real Nominal Real Nominal Nominal Variability Country/data Europe Europe World World World World 0.0203 0.073 0.205 0.206 0.025 0.034 Czech Republic 0.0035 0.056 0.191 0.194 0.003 ----Austria 0.0127 0.065 0.198 0.199 0.014 ----Portugal Source: Bayoumi and Eichengreen (1997a, 1998a), Cincibuch and Vávra (2000), own calculations.
The Czech Republic has a lower OCA-index than Portugal when Germany is considered as the benchmark country; the opposite is the case when the EU is the benchmark country. 23
•
Empirical Studies on OCA Theory and Transition Economies – Boone and Maurel (1998), Horváth (2001), Fidrmuc and Korhonen (2001) or Schweickert (2001) focus not only on the Czech Republic, but also on other transition economies. They show that the structural convergence of the Czech Republic does not considerably differ from the convergence of other Central European countries. But the difference can be seen between the Czech Republic on the one hand, and Romania and Bulgaria on the other hand.
24
Measuring OCA Indices in Europe – Methodology countries experiencing symmetric shocks or high trade linkages tend to have stable exchange rates (the more the OCA criteria among the countries are fulfilled the lower should be the exchange rates variability among considered countries)
(2.2)
SD(eij) = a + b1SD(∆yi-∆yj) + b2DISSIMij + b3TRADEij + b4SIZEij
The bigger the countries are in economic terms, the higher the costs of transition to
.
adopting of common currency
(2.3)
SD(eij) = a + b1SD(∆yi-∆yj) + b2DISSIMij + b3TRADEij + b4OPENij
Bayoumi and Eichengreen (1997a,b and 1998) find little evidence that more open economy tends to fix its currency. But since the openness is also one of the traditional OCA criteria
SD(eij) = a + b1SD(∆yi-∆yj) + b2DISSIMij + b3TRADEij + b4OPENij + b5DOLVARij (2.4) evidence for importance of considering the international monetary system (the influence of the variability of USD on the exchange rates volatility in the remaining countries.
SIZEij - the mean of the logarithm of the two GDPs measured in USD OPENij - arithmetic mean to the i-th and j-th country ratio of trade (export + import) to its GDP DOLVARij - arithmetic average of the variability of the U.S. dollar exchange 25
rates for each country pair.
- Results Table 2.5 – Exchange Rates Volatility, Based on Yearly Data Exchange Rates Volatility 1960s 0,033 1970s 0,086 1980s 0,076 1990s 0,094 1989-93 0,082 1994-98 0,048 Note: Volatility in this table means average of the standard deviations of the change in the logarithm of the bilateral exchange rate, based on monthly data.
Table 2.6 – Exchange Rates Volatility, Based on Monthly Data Exchange Rates Volatility 1990s 0,1039 1989-93 0,0857 1994-98 0,0662 Note: Volatility in this table means average of the standard deviations of the change in the logarithm of the bilateral exchange rate, based on monthly data.
26
Table 2.7 – Exchange Rate Volatility for Selected Countries of the EU, in the 1990s Belgium Germany Denmark Switzerland Ireland Netherlands
Austria 0,012 0,006 0,012 0,043 0,048 0,007
Belgium
Germany
0,008 0,011 0,039 0,050 0,007
0,010 0,042 0,048 0,003
Denmark Switzerland
0,038 0,047 0,011
0,083 0,041
Ireland
0,050
Note: Volatility in this table means the standard deviation of the change in the logarithm of the bilateral exchange rate between countries i and j; based on monthly data.
Table 2.8 – Symmetry of the Shocks for Selected Countries, in the 1990s Germany France Germany Belgium Belgium Denmark Belgium Austria Spain
France Italy Italy France Italy Great Britain Germany Germany Portugal
0,0053 0,0059 0,0071 0,0076 0,0091 0,0100 0,0113 0,0120 0,0128
Note: Symmetry of shocks in this context are measured as the standard deviation of the difference in the logarithm 27 of real output between countries i and j.
Table 2.9 – Trade Linkages and Dissimilarity of Exports for Selected Countries a Belgium Netherlands 0,0689 Belgium Germany 0,0687 Germany Netherlands 0,0676 Germany Czech Republic 0,0665 Belgium France 0,0646 Austria Germany 0,0529 Germany Ireland 0,0426 Average in EU 0,007
b 0,287 0,129 0,416 0,131 0,078 0,052 0,304 0,293
Notes: a - the mean of the ratio of bilateral exports to domestic GDP for the given two countries b - the sum of the absolute differences in the shares of agricultural, mineral, and manufacturing trade in total merchandise trade
28
Table 2.10 – Results of Estimation of Equation (2.2) Variability of output Trade ratio Size of economy Dissimilarity of exports
Coefficient 0,089 -0,121 0,016 0,016
Number of observations R-squared S.E.E. F-Statistic
190 0,2 0,04 11,47
t-Statistic 0,78 -5,6 4,15 1,9
Table 2.11 – Results of Estimation of Equation (2.2) without Considering the Variable Describing the Symmetry of Shocks, SD(∆yi-∆yj) Trade ratio Size of economy Dissimilarity of exports
Coefficient -0,121 0,015 0,016
Number of observations R-squared S.E.E. F-Statistic
190 0,2 0,04 15,12
t-Statistic -5,57 4,15 2,03
29
Table 2.12 – Results of Estimation of Equation (2.3) Variability of output Trade ratio Openness Dissimilarity of exports
Coefficient 0,177 -0,084 -0,001 0,007
Number of observations R-squared S.E.E. F-Statistic
190 0,29 0,04 18,42
t-Statistic 1,63 -4,13 -6,45 0,85
Note: Exclusion of the variable SD(∆yi-∆yj) changes only minimally the results.
Table 2.13 – Results of Estimation of Equation (2.3) without Considering Shocks at Industrial Level, DISSIMij Variability of output Trade ratio Openness
Coefficient 0,2 -0,08 -0,001
Number of observations R-squared S.E.E. F-Statistic
190 0,28 0,04 24,36
t-Statistic 1,86 -4,31 -6,57
30
Table 2.14 – OCA Indexes versus Germany Belgium Netherlands Austria Ireland Switzerland Czech Republic Denmark Sweden Portugal France Italy Norway Finland Great Britain Spain
0,0179 0,0376 0,0622 0,0673 0,0819 0,0862 0,0906 0,0961 0,0986 0,1014 0,1036 0,1055 0,1080 0,1084 0,1157
Note: OCA index represents the predicted value obtained from estimating equation (2).
Table 2.15 – OCA Indexes for Specific Relationships Belgium Netherlands Belgium France Great Britain Ireland Canada USA Belgium Ireland Austria Netherlands Netherlands Portugal Austria Ireland Austria Czech Republic Average of the sample
-0,0071 0,0233 0,0233 0,0271 0,0489 0,0714 0,0747 0,0857 0,0905 0,1039
Note: OCA index represents the predicted value obtained from estimating equation (2).
31
Table 2.16 – Results of Estimation of Equation (2.4) Variability of output Trade ratio Openness Size of economy Dissimilarity of exports Variability of U.S. dollar Number of observations R-squared S.E.E. F-Statistic
Coefficient 0,238 -0,079 -0,001 0,013 0,012 0,093
t-Statistic 2,30 -3,85 -4,00 2,63 1,54 5,17
190 0,38 0,04 18,45
32
Chapter conclusion There are several variables to be considered about the choice of the exchange rate regime, i.e. symmetry of shocks, an intensity of trade linkages, degree of dissimilarity of the exports, and openness of the economy. All these variables we take into account in the construction and estimation of the so-called OCAindex. We follow the approach suggesting the OCA criteria are exogenous to a large extent rather than endogenous. Then we calculate OCA-indexes for industrial countries in an effort to estimate the benefit-cost ratio of adopting common currency between two countries and discuss the results for the Czech Republic. • We find no support for the view that the economy of the Czech Republic could possibly structurally differ more than the Eurozone member countries between each other. We conclude that if the Eurozone is sustainable, the accession of the Czech economy should not change it. • Moreover, we also focused our attention to the Eurozone in the similar way. The results correspond to the earlier estimation of Bayoumi and Eichengreen (1997b) and show that the ranking of the economies suitable to form a monetary union stays the same in the 1980s as well as in the 1990s. In other words, the economies, which were structurally close to each other in the 1980s, remain close in the 1990s and the opposite is valid for the structurally different economies. This empirical estimation also does not provide evidence for views, which emphasise the seemingly striking difference between the core and the periphery of the European Union.
Literature
33
Kurzová volatilita a fundamenty Kernel Fit (Epanechnikov, h= 2.4554)
Kernel Fit (Epanechnikov, h= 2.5345)
.07
.07
.06
.06
.05
.05 Kurz. volatilita
Kurz. volatilita
Inflační dif.
.04 .03 .02 .01
.04 .03 .02 .01
.00
.00 -4
0
4
8
12
16
-4
Infl. diferenciál
.07
.07
.06
.06
.05
.05
.04 .03
.01
.01
Korelace hosp. cykl.
12
16
20
.08
korl. peněžní zásoby
.03 .02
.04
8
.04
.02
.00
4
Kernel Fit (Epanechnikov, h= 10.908)
Kernel Fit (Epanechnikov, h= 0.0136)
.00 -.04
0
Úrok. diferenciál
Kurz. volatilita
Kurz. volatilita
korl. hosp. cyklu
úrokový dif.
.00 -50 -40 -30 -20 -10
0
10
20
30
Korelace pen. zásoby
34
(III.) Institutional Framework of Exchange Convergence Process - Choices for the Candidate Countries
35
Fulfilment of the Exchange Rate Criterion year T - 1 (2Q) decision of the EU summit on the eurozone accession
year T - 2: the lattest date for the ERM2 accession (setting of the parity against euro and the width of the fluctuation band)
year T (1.1.)
eurozone accession
Membership in the EMU with the derogation from the euro introduction
Eurozone membership
Fulfilling the public debt criterion
reference period: fiscal criteria
Fulfilling the government deficit criterion
Fulfilling the interest rate criterion
reference period: monetary criteria
Fulfilling the inflation criterion
Fulfilling the exchange rate criterion (ERM2 membership)
4Q
1Q
2Q
3Q
T-2
4Q
1Q
2Q
3Q
T-1
4Q
1Q
2Q
T
3Q
36
Exchange rate criterion within ERM2 Exchange rate criterion within ERM2 with fluctuation band +/- 15% 20%
Central Parity Revaluation - consistent with Exchange Rate convergence criterion
APRECIATION
"forbidden" fluctuation
15% Exchange rate development consistent with criterion (-2.25%,15%)
10%
band consistent with ER criterion
5%
0% Temporary fluctuations under (-2.25%) from central parity; evaluation upon discretion of the European authorities (amplitude; time etc.)
-5%
-10%
Consistency with criterion upon evaluation
-15%
-20%
-25%
-30%
Exchange rate development inconsistent with criterion - infringement of the band (-15%)
"forbidden" fluctuation
DEPRECIATION
37
Global view on the exchange rate development in the EU5 countries E
I. a II. fáze
III. fáze
IV. fáze
V. fáze
čas
38
(IV.) A Comparison of Experiences from Member States of the European Union
39
ERM & ERM2 - Broad phases of the history of the ERM´s operation • Phase 1: (launch of the ERM in 1979 until the end of 1983); – target zones suffered lack of credibility and frequent devaluations
• Phase 2a: (1984 - 1991) – growth in credibility (linked with initial considerations regarding the possible formation of a monetary union), with the central parities being realigned only in exceptional cases.
• Phase 2b: (1991 - 1993) – series of currency crises in the ERM countries, due chiefly to German reunification and economic recession in the EU. A speculative attack in September 1992 forced Italy and the UK out of the mechanism. (In August 1993 the ERM fluctuation band was widened from ±2.25% to ±15%)
• Phase 3a: (1993 - 1998) – substantial progress was made in nominal (and real) convergence between the EU nations. Macroeconomic stability, structural reforms and the Maastricht process to introduce a single currency fostered a situation where the central parities were adjusted with ever-decreasing frequency
• Phase 3b: (1998 - 2000) “revaluation period” & (1999: ERM ⇒ ERM2) • Phase 4: ???? (for new candidate countries) 40
Figure 3.1 – Exchange Rate Parities and Fluctuation Bandwidths of the EU-12 Nations in the ERM and the ERM2 Germany ROK
Datum
1979
13.III 24.IX 1.I 23.III 5.X 22.II 14.VI 21.III 22.VII 1.I 7.IV 4.VIII 12.I 19.VI 8.I 6.IV 14.IX 17.IX 23.XI 1.II 14.V 2.VIII 1.I 9.I 6.III 14.X 25.XI 16.III 1.I 17.I 1.I
Holland France
1981
1982 1983 1985 1986
1987 1989 1990 1992
1993
1995
1996 1998 1999 2000 2001
* +2
*
Luxemburg Belgium
*
*
Italy Ireland
*
Portugal Austria
Spain
*
Finland Greece
* EU -6 -3
+5,5
-3
+5,5 -8.5
-8.5
4,25 +5,5 +2
+5,75 -2,5 +2
+4,25 +3,5 +2
+1,5 +2
+1,5 +2
+3
-3
+3
+1
+1
+3
+3
+2
+2
-3,5 +2
-2,75 -2,5 -6 EU
EU
-8 * -3,75 +3,5
Fluctuation bands: ± 2,25 % ±6% ± 15 %
+3,5
+3,5
+3,5
+3,5
+3,5
-3,5 x
+3,5 -5 -6
* +3,5 -6
-10 -8
-6,5 EU *
-7
EU
-3,5 *
* +3 Euro introduction and start of the ERM2
* +3.5 Euro
Signs: */EU…entry into the exchange rate mechanism/into the EU x…exit from the exchange rate mechanism +/-…revaluation/devaluation of the central parity (in %)
Note: 23.8.1993 was the standard fluctuation band widened to ± 15 %, with exception of Germany and Holland that mutually agreeded upon (outside ERM) bilateral fluctuation band ± 2,25 %
Sources: ECB and authors
41
(+) revaluation, (-) devaluation of the central parity (%)
ROK
Itá lie
D a tu m Irs k o
1989 1990 1992
1993
1995
1996 1998 1999 2000 2001
1 9 .VI 8 .I 6 .IV 1 4 .IX 1 7 .IX 2 3 .XI 1 .II 1 4 .V 2 .VIII 1 .I 9 .I 6 .III 1 4 .X 2 5 .XI 1 6 .III 1 .I 1 7 .I 1 .I
P o rtu g a ls k o Š p a n ě ls k o
Ře c ko F in s k o
* -3 ,7 5 + 3 ,5
-3 ,5 x
+ 3 ,5 -5 -6
* + 3 ,5 -6
-1 0 -8
-6 ,5 EU
-7
-3 ,5 *
* +3 Za v e d e n í e u ra a p o č á te k fu n g o v á n í E R M 2
* + 3 .5 E u ro
Š íře flu k tu a č n íh o p á s m a : ± 2 ,2 5 % ± 6 % ± 15 %
O z n a č e n í: *… v s tu p d o k u rz o v é h o m e c h a n is m u x … v ýs tu p z k u rz o v é h o m e c h a n is m u + /-… re v a lv a c e /d e v a lv a c e c e n trá ln í p a rity (v % )
P o z n .: 2 3 .8 .1 9 9 3 d o š lo k ro z š íře n í flu k tu a č n íh o p á s m a E R M n a ± 1 5 % , s v ý jim k o u p ro N ě m e c k o a H o la n d s k o ,k te ré s o u h la s ily (m im o E R M ) n a d o d rž e n í b ila te rá ln íh o flu k tu a č n íh o p á s m a ± 2 ,2 5 % .
42
(+) revaluation, (-) devaluation of the central parity (%)
Exchange Rate Convergence and Segmentation of the EU Countries T ab le 3 .1 – S e gm en tatio n a) o f E U C o u n tries fo r th e A n alysis o f E x ch an ge R ate E x p erien ces G ro u p A B e lg iu m COUNTRY
L u x e m b o u rg N eth erla n d s F ra n ce A u stria
NATURE OF EXCHANGE RATE P O L IC Y IN EURO ZO N E A C C E S S IO N PRO CESS
M o n etary a n d exc h a n ge rate p o licy stro n g ly affec te d b y ties to DEM
G ro u p B
G roup C
P o rtugal S p a in
F in la n d
Irelan d
Ita ly
G ree ce
E x ch a n g e rate p o licy a n in stru m en t o f m acro eco no m ic stab ilisatio n ; b o lsterin g o f d isin flatio n ary p ro cess
E R M /E R M 2 a q u a lify in g co nd itio n fo r jo in in g th e E u ro z o n e
G ro u p D
D en m ark S w ed en U n ited K in g d o m
N o n -m e m b ers o f th e E u ro zo ne
N o te s: G ro u p A – c o u n tries clo sely lin ked to th e G erm a n m a rk, G ro u p B – rea l-c on ve rg en ce (p erip h era l) co u n tries, G ro u p C – co u n tries th a t h a v e b een in th e E R M /E R M 2 fo r a rela tively sh o rt p erio d , G ro u p D – E u ro zo n e n o n -m e m b er c o u n tries; a) T h is b rea kd o w n g ive s o n ly th e b a sic n a tu re o f ea ch co u n try’s e xch a n g e ra te p o licy in th e E u ro zo n e a ccessio n p ro cess (fo r in sta n ce , G reece’s e n try in to th e E R M /E R M 2 w a s sim u lta n e o u sly a n in stru m e n t o f m a cro eco n o m ic sta b ilisa tio n a n d a q u a lifyin g co n d itio n fo r jo in in g th e E u ro zo n e). b) S in ce 1 9 2 1 , th e L u x em b o u rg fra n c (L U F ) h a s b een in a m o n eta ry u n io n w ith B elg iu m u n d er a n a g ree m e n t kn o w n a s th e B L E U (T h e B elg iu m – L u x em b o u rg E c o n o m ic U n io n ).
43
TABULKA 3.2 Kurzová volatilita zemí EU oproti DEM/EUR před vstupem do eurozóny
SKUPINA
Skupina A
Skupina B Skupina C Skupina D
ZEMĚ
Německo Belgie/Luxembursko Nizozemí Francie Rakousko Portugalsko Španělsko Irsko Řecko Finsko Itálie Dánsko Švédsko Velká Británie
MĚNA
DEM BEF NLG FRF AUT PTE ESP IEP GRD FIM ITL DEK SEK GBP
OBDOBÍ I.
OBDOBÍ II.
(1.-2. roky před vstupem)
(3.-4. roky před vstupem)
Aritmetický průměr (absolutní hodnoty; v %)
směrodatná odchylka
Aritmetický průměr (absolutní hodnoty; v %)
směrodatná odchylka
0
0
0
0
0.16 0.21 0.33 0.17 0.73 0.37 2.52 1.95 0.79 0.50 0.10 3.30 3.29
0.04 0.06 0.07 0.02 0.26 0.10 0.21 0.07 0.41 0.58 0.03 0.40 0.99
0.33 0.72 2.63 0.19 1.94 1.68 6.85 5.55 1.40 9.61 0.21 4.13 8.06
0.04 0.07 0.23 0.03 0.85 0.90 0.12 0.23 0.70 1.70 0.06 0.71 0.48
poznámky: a) kalkulace na základě měsíčních dat b) referenčním kurzem byl průměrný kurz vůči DEM(EUR) před skutečným nebo hypotetickým zavedením eura (počátek července 2004) c) období I. – 0 až 24 měsíců; období II. – 25 až 48 měsíců před skutečným nebo hypotetickým zafixováním centrální parity v rámci eurozóny zdroje: Eurostat, CD-ROM IMF-IFS a výpočty autorů
44
TABULKA 3.3 Vyhodnocení kritéria kurzové stability oproti DEM/EUR v období 0-24 měsíců před zafixování centrální parity v rámci eurozóny
SKUPINA
Skupina A
Skupina B Skupina C Skupina D
ZEMĚ Německo Belgie/Luxembursko Nizozemí Francie Rakousko Portugalsko Španělsko Irsko Řecko Finsko Itálie Dánsko Švédsko Velká Británie
MĚNA
Minimum (v %)
DEM BEF NLG FRF AUT PTE ESP IEP GRD FIM ITL DEK SEK GBP
0 -0.25 -0.62 -0.37 -0.22 -2.11 -0.82 -6.70 -4.25 -2.32 -1.28 -0.21 1.61 -6.29
Centrální Maximum parita oproti (v %) DEM 0 0.27 0.37 1.03 0.36 0.35 0.33 0.75 1.35 0.33 0.93 0.16 4.72 6.09
1 20.63 1.13 3.35 7.04 102.38 84.93 0.40 171.91 3.04 987.00 3.81 4.53 0.34
Procentní chyba od skutečné centrální parity 0.00 0.04 0.15 -0.03 0.03 -0.12 -0.17 -0.87 -1.33 -0.10 -0.30 N.A. N.A. N.A.
poznámky: a) kalkulace na základě měsíčních dat; Maximum = zhodnocení měny; Minimum = znehodnocení měny b) referenčním kurzem byl průměrný kurz vůči DEM(EUR) před skutečným nebo hypotetickým zavedením eura (30. června 2004) c) při výpočtu bylo použito přímého kótování měnových kurzů, tj. (-) značí apreciaci, (+) značí depreciaci; Kurzové odchylky byly přizpůsobeny revalvacím, resp. devalvacím centrálních parit d) poslední sloupec vyjadřuje procentní chybu při použití centrální parity ročního průměrného kurzu dané národní měny vůči DEM ( na základě měsíčních dat); (-) značí, že centrální parita byla dle daného postupu stanovena více apreciačně, (+) naopak značí depreciační vychýlenost e) období I. – 0 až 24 měsíců; období II. – 25 až 48 měsíců před skutečným nebo hypotetickým (30. června 2004) zafixováním kurzu domácí měny vůči EUR. (max.- zhodnocení měny oproti centrální paritě; min. – znehodnocení měny oproti centrální paritě) zdroje: Eurostat, CD-ROM IMF-IFS a výpočty autorů
45
Group A: Countries closely linked to the German mark • • • •
countries, which have historically close ties (stability of the nominal exchange rates) to the DEM, i.e. no major fluctuations or changes in central parities in the run-up Eurozone entry; countries with a high level of GDP per capita (higher than the EU-15 average); in the 2 years prior to introduction of the euro, these currencies traded against the mark within a very narrow fluctuation band not exceeding +/- 1 % (exception to France between 1995-1996); the stability of these exchange rates was also reflected in very narrow interest rate differentials for both long.term and short-term rates;
46
Group B: Real-convergence (“peripheral”) countries •
• •
countries, which have greater exchange rate volatility than that of the group A countries (used exchange rate policy in the convergence process very often as a means of bolstering their disinflationary process); real catch-up economies, having lower income levels than the group A countries; In the 2 years prior to introduction of the euro (Period I.) the NER movements showed two distinct trends: – ER stabilisation (Spain & Portugal) and continuously falling and almost identical interest rates differential vis-á-vis Germany as well as moderately rising inflation differential; – strong ER appreciation (Ireland & Greece)
• •
repeated changes of central parities during the 1990s suggested that there were problems in finding their equilibrium exchange rates against the other European currencies; in the 2 years prior to introduction of the euro, these currencies traded against the DEM within a fluctuation band of approximately +/- 4 %; 47
Group C: Countries that have been in the ERM2 for a short period • •
countries, which entered the exchange rate mechanism “at the last minute” (their fluctuation stayed within +/- 2.25 % of the central parity (except for a short.lived appreciation of the FIM); exchange rate situation back in the early 1990s was a fairly strong depreciation trend: – Italy (due to inconsistent macroeconomic policies - strong fiscal expansion, that let ITL to the exit from the ERM); – Finland (due to a decline in exports to the former Soviet Union) ;
• •
for both nations, the central parity (in the band vis-á-vis a ECU) when they entered the ERM was set very close to the market rate; compared with Italy, Finland recorded greater exchange rate stability vis-a-vis the DEM and a smaller interest rates differential relative to Germany;
48
Group D: Eurozone non-member countries •
Denmark - can be compared with the Group A - i.e. those strongly linked to DEM. The stability of DKK is confirmed by the fact that since 1987 its parity in the ERM/ERM2 has remained unchanged;
•
The central banks of the UK and Sweden, do not focus key monetary policy strategies primarily on the exchange rate targets. In these countries, the operational framework for monetary policy is inflation targeting.
49
Experiences of the EU Countries with the Exchange Rate Convergence Process • •
•
•
•
Central parities were realigned with decreasing frequency as the launch of the Eurozone approached. The experiences of the present Eurozone members shows that successful membership in the ERM/ERM2 requires harmonisation of the business cycles of the countries bound by the fixed exchange rate system. The group of countries with a higher economic level (the ”core” of the Eurozone) implemented exchange rate policy in the convergence process within a narrower fluctuation band. The exchange rate experiences of the EU countries during the twoyear run-up to Eurozone entry show that the market exchange rate fluctuated either close to the central parity or in the appreciation half of the exchange rate band. The crisis in the early 1990s also demonstrated that the target in the form of the ERM/ERM2 exchange rate band must be underpinned by credible domestic economic policy. 50
Nominal exchange rates and interest rate differentials OBRÁZEK 3.2 Interpretace kurzového vývoje (příklad Francie a Rakouska) 4 roky před přijetím eura
Přijetí eura 1.1.1999
106 105 104
Apreciace ke konverznímu poměru
2 roky před přijetím eura ≈ ERM II
103 102
Maximum
101 Centrální parita
100 99
19 95 1 9 M1 95 M 19 4 9 1 9 5M7 95 M 1 9 10 96 M 19 1 96 1 9 M4 96 1 9 M7 96 M 1 9 10 97 M 19 1 97 M 19 4 9 1 9 7M 97 7 M 1 9 10 98 M 19 1 98 1 9 M4 98 1 9 M7 98 M 1 9 10 99 M 19 1 99 M 4
Minimum
Francie
Depreciace ke konverznímu poměru
Rakousko
51
19 95 M 19 1 95 M 19 4 95 19 M7 95 M 19 10 96 M 19 1 96 M 19 4 96 19 M7 96 M 19 10 97 M 19 1 97 M 19 4 97 19 M7 97 M 19 10 98 M 19 1 98 M 19 4 98 19 M7 98 M 19 10 99 M 19 1 99 M 4
Finsko a Itálie (kurz)
130 apreciace
125
120
115
110
105
100
95
Finsko Itálie 52
Finsko 19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
98 m
98 m
98 m
98 m
97 m
97 m
97 m
97 m
96 m
96 m
96 m
96 m
95 m
95 m
95 m
95 m
10
07
04
01
10
07
04
01
10
07
04
01
10
07
04
01
Finsko a Itálie (úrokové sazby) 12
10
8
6
4
2
0
Itálie
53
19 95 M 19 1 95 M 19 4 95 19 M7 95 M 19 10 96 M 19 1 96 M 19 4 96 19 M7 96 M 19 10 97 M 19 1 97 M 19 4 97 19 M7 97 M 19 10 98 M 19 1 98 M 19 4 98 19 M7 98 M 19 10 99 M 19 1 99 M 4
Portugalsko a Španělsko (kurz) 115 apreciace
112.5
110
107.5
105
102.5
100
97.5
Portugalsko Španělsko
54
Portugalsko 98 m
98 m
98 m
98 m
97 m
97 m
97 m
97 m
96 m
96 m
96 m
96 m
95 m
95 m
95 m
95 m
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
19
10
07
04
01
10
07
04
01
10
07
04
01
10
07
04
01
Portugalsko a Španělsko (úrokové sazby) 12
10
8
6
4
2
0
Španělsko
55
19 95 M 19 1 95 M 19 6 95 M 1 19 1 96 M 19 4 96 M 19 9 97 M 19 2 97 M 19 7 97 M 1 19 2 98 19 M5 98 M 1 19 0 99 M 19 3 99 M 20 8 00 M 20 1 00 M 20 6 00 M 1 20 1 01 M 4
Irsko a Řecko (kurz)
107.5 apreciace
105
102.5
100
97.5
95
92.5
90
87.5
85
Irsko Řecko 56
19 95 m 19 01 95 m 19 05 95 m 19 09 96 m 19 01 96 m 19 05 96 m 19 09 97 m 19 01 97 m 19 05 97 m 19 09 98 m 19 01 98 m 19 05 98 m 19 09 99 m 19 01 99 m 19 05 99 m 20 09 00 m 20 01 00 m 20 05 00 m 09
Irsko a Řecko (úrokové sazby) 25
20
15
10
5
0
Irsko Řecko
57
(V.) A Comparison of Experiences from Selected Candidate Countries of the European Union
58
A Comparison of Experiences from Selected Candidate Countries of the European Union Aware of the fact that many of the candidate countries have not yet definitively finished the transition period, we identify several basic determinants that should influence the candidates’ nominal exchange rates prior to Eurozone entry.
• Exchange rate “history” of the candidate countries • Segmentation of the candidate countries (ER volatility) • Pre-accession Economic Programmes • Main determinants of the Exchange Rate movements in the candidate countries • Choosing the Optimum central parity for ERM2 entry 59
Segmentation of the candidate countries (exchange rate volatility) Group E
Group F
Group G
Estonia Lithuania Latvia Cyprus Malta
Czech Republic Hungary Poland Slovakia Slovenia
Bulgaria Romania Turkey
Countries with a fixed exchange rate arrangement
Countries with a more flexible exchange rate arrangement
Countries with a longer association process
60
Segmentation of the candidate countries (exchange rate volatility) TABULKA 4.2 Kurzová volatilita kandidátských zemí EU oproti EUR - fluktuační rozpětí oproti jednoročnímu průměrnému kurzu
SKUPINA
Skupina E
Skupina F
Skupina G
ZEMĚ
Estonsko Litva Lotyšsko Kypr Malta Česká republika Maďarsko Polsko Slovensko Slovinsko Bulharsko Rumunsko Turecko
MĚNA
EEK LTL LVL CYP MTL CZK HUF PLN SKK SIT BGN ROL TRL
OBDOBÍ I.
OBDOBÍ II.
(1.-2. roky před vstupem)
(3.-4. roky před vstupem)
Aritmetický průměr (absolutní hodnoty; v %)
směrodatná odchylka
Aritmetický průměr (absolutní hodnoty; v %)
směrodatná odchylka
0.00 0.00 3.65 1.51 4.00 2.44 3.53 6.37 2.20 1.69 0.14 7.67 63.20
0.00 0.51 0.55 0.29 0.41 0.86 0.92 0.55 0.71 0.25 0.03 0.28 13.47
0.00 2.94 14.65 0.53 1.53 5.91 3.16 19.25 5.32 8.23 0.14 35.22 32.10
0.00 1.11 0.82 0.08 0.34 0.84 0.81 0.82 0.31 0.47 0.05 0.94 24.31
poznámky: a) kalkulace na základě měsíčních dat b) referenčním kurzem byl průměrný kurz vůči DEM(EUR) před skutečným nebo hypotetickým zavedením eura (30. června 2004) c) období I. – 0 až 24 měsíců; období II. – 25 až 48 měsíců před hypotetickým zafixováním centrální parity v rámci eurozóny 61 zdroje: Eurostat, CD-ROM IMF-IFS a výpočty autorů
Segmentation of the candidate countries (exchange rate volatility) TABULKA 4.3 Vyhodnocení kritéria kurzové stability za období 2002/07 až 2004/06
SKUPINA
Skupina E
Skupina F
Skupina G
ZEMĚ
MĚNA
Minimum (v %)
Maximum (v %)
Centrální parita oproti EUR
Estonsko Litva Lotyšsko Kypr Malta Česká republik Maďarsko Polsko Slovensko Slovinsko Bulharsko Rumunsko Turecko
EEK LTL LVL CYP MTL CZK HUF PLN SKK SIT BGN ROL TRL
0.00 -0.02 -9.80 0.10 0.02 -7.94 -8.49 -14.52 -2.37 -4.35 0.01 -18.33 0.01
0.00 0.01 2.58 2.25 3.37 2.15 2.62 4.92 8.81 1.05 0.33 3.80 8.31
15.65 3.45 0.65 0.59 0.43 32.29 257.98 4.63 40.89 236.88 1.95 300.14 1678888.92
poznámky: a) kalkulace na základě měsíčních dat; Maximum = zhodnocení měny; Minimum = znehodnocení měny b) referenčním kurzem byl průměrný kurz vůči DEM(EUR) před skutečným nebo hypotetickým zavedením eura (30. června 2004) c) při výpočtu bylo použito přímého kótování měnových kurzů, tj. (-) značí apreciaci, (+) značí depreciaci; Kurzové odchylky byly přizpůsobeny revalvacím, resp. devalvacím centrálních parit d) poslední sloupec vyjadřuje procentní chybu při použití centrální parity ročního průměrného kurzu dané národní měny vůči DEM ( na základě měsíčních dat); (-) značí, že centrální parita byla dle daného postupu stanovena více apreciačně, (+) naopak značí depreciační vychýlenost e) období I. – 0 až 24 měsíců; období II. – 25 až 48 měsíců před skutečným nebo hypotetickým (30. června 2004) zafixováním kurzu domácí měny vůči EUR. (max.- zhodnocení měny oproti centrální paritě; min. – znehodnocení měny oproti centrální paritě) zdroje: Eurostat, CD-ROM IMF-IFS a výpočty autorů
62
Choosing the Optimum Central Parity for ERM2 entry When deciding on the central parity in the ERM2, the authorities should take into account estimates of the trajectory of the equilibrium real exchange rate and the likely path of the exchange rate within the ERM2.
Factors influencing exchange rate path within ERM2: The expected period of participation in the ERM2 (MP, credibility of the conversion rate and UIP) • Legislative and institutional arrangements relating to ERM2 (bias towards upper side of the band?) • real exchange rate trajectory (catching up vs. “core” countries) • setting of the central parity (market rate at the time of entry) 63
TABULKA P.1 Programy PEP z roku 2002: cíle kurzových politik kandidátských zemí (z pohledu roku 2001-2002) a jejich uvažovaná účast v eurozóně ZEMĚ S K
ESTONSKO LITVA
KURZOVÝ REŽIM
PŘISTOUPENÍ K EUROZÓNĚ
ÚČAST V ERM II
UVAŽOVANÉ ZMĚNY KURZOVÝCH REŽIMŮ
Nespecifikováno v PEPu
Nespecifikováno v PEPu
Nespecifikováno v PEPu
Nespecifikováno v PEPu
Nespecifikováno v PEPu
Nespecifikováno v PEPu
„po přistoupení či později“
Účast v ERM II je považována za možnost vedoucí k aktivnější „měnové politice“
Fixní kurz vůči euru s širokým fluktuačním Co nejdříve po přistoupení k EU. pásmem a „měkkým“ vnitřním pásmem a)
V době přistoupení k EU.
Nespecifikováno v PEPu
Nespecifikováno v PEPu (reference k současnému dialogu mezi vládou a centrální bankou)
Nejbližší možný termín po přistoupení k EU
Zachování fixního kurzu, zvýšení podílu eura v měnovém koši
Nespecifikováno v PEPu
Měnový výbor (EUR) Měnový výbor (EUR)
b)
U P
LOTYŠSKO
I N A
KYPR
Fixní kurz (SDR)
(E)
MALTA
Fixní kurz vůči měnovému koši (podle podílu zemí na zahr. Obchodu)
S
ČESKÁ REPUBLIKA
Řízené plování
K U
MAĎARSKO
P
Fixní kurz s pásmem „co nejdříve po přistoupení +/- 15% (euro) k EU“
S
P
Nespecifikováno v PEPu
(po publikování PEPu: zpráva o zaměření politik ke splnění Maastrichtských kritérií v r. 2005
Po přistoupení
Jako výzva identifikováno nalezení optimální kurzové parity v ERM2
Plovoucí kurz
SLOVENSKO
Řízené plování
Nespecifikováno v PEPu
Po přistoupení
Nespecifikováno v PEPu
SLOVINSKO
Řízené plování
Jakmile možné po přistoupení k EU
Nespecifikováno v PEPu
Beze změny
Nespecifikováno v PEPu
Účast, avšak udržení měnového výboru
Zachování měnového výboru
BULHARSKO Měnový výbor (euro)
K U
Po přistoupení k EU
POLSKO
A (F)
Udržení řízeného plování, úsilí Standardní fluktuační pásmo neutralizovat příliv privatizačního kapitálu
Nespecifikováno v PEPu
I N
Nespecifikováno v PEPu
TURECKO
Plovoucí kurz
Nespecifikováno v PEP
Nespecifikováno v PEP
Uvažovaná změna: fixní kurz (koš EUR/USD, po roce 2004 EUR)
RUMUNSKO
Řízené plování s referenční měnou USD
Nespecifikováno v PEPu
Nespecifikováno v PEPu
Změna k euru jako referenční měně
I N A (G) a)
Kyperská libra byla od roku 1992 navázána na ECU, od 1. ledna 1999 je navázána na euro. Od 1. ledna 2001 je stanovena centrální parita na úrovni 1 CYP = 1,7086 EUR s fluktuačním pásmem + 15%. Kurz je velmi stabilní a zatím nikdy nevybočil ani z úzkého pásma + 2,25%.
b)
Od 2.2.2002 přešla Litevská centrální banka z ukotvení svého měnového výboru od dolaru (kurz byl do tohoto data 4 LIT/USD) k euru (kurz 3,4538 LIT/EUR). Zdroje: programy PEP (2001 a 2002), Bloomberg a http://www.bank.lv.
64
TABULKA P.2 Konvergenční programy nových členských zemí z roku 2004: cíle kurzových nových členských zemí a jejich uvažovaná účast v eurozóně ZEMĚ
KURZOVÝ REŽIM K ČERVNU 2004
PŘISTOUPENÍ K EUROZÓNĚ
ÚČAST V ERM II
ESTONSKO
Měnový výbor (euro)
Tak rychle, jak jen to Vstoupilo do ERM II 27. bude možné, nejdříve v června 2004 s pásmem +/roce 2006 15% od centrální parity
NE
LITVA
Měnový výbor (EUR)
Tak rychle, jak jen to Vstoupilo do ERM II 27. bude možné, nejdříve v června 2004 s pásmem +/15% od centrální parity roce 2006
NE
S
1.1.2005
ANO, od 1.1.2005 bude opuštěna vazba na SDR a bude aplikováno užší fluktuační pásmo + 2,25% k EUR
K U
LOTYŠSKO
Fixní kurz (SDR)
nejdříve od 1. Ledna 2008
KYPR
Fixní kurz vůči euru s širokým fluktuačním pásmem a „měkkým“ vnitřním pásmem
Do konce roku 2007
zapojit se co nejdříve do mechanismu ERM II
NE
MALTA
Fixní kurz vůči měnovému koši (podle podílu zemí na zahr. Obchodu)
jakmile to umožní ekonomická konvergence
pouze minimální dobu 2 let (podmínkou zapojení je snížení deficitu veřejných financí), a to okamžitě s úzkým fluktuačním pásmem
Nespecifikováno
ČESKÁ REPUBLIKA
Řízené plování
Lze očekávat přistoupení ČR k eurozóně v horizontu let 2009 – 2010
Viz ČNB (2003)
(pokračování režimu plovoucího kurzu a inflačního cílení)
MAĎARSKO
Fixní kurz s pásmem +/- 15% (euro)
Nespecifikováno
Nespecifikováno
Nespecifikováno
POLSKO
Plovoucí kurz
jakmile to umožní makroekonomické podmínky, zavedení eura přichází v úvahu v letech 2008 až 2009, Maastrichtské podmínky by mělo Poslko splnit na konci roku 2007
Nespecifikováno
(pokračování režimu plovoucího kurzu a inflačního cílení)
SLOVENSKO
Řízené plování (EUR)
v letech 2008 – 2009
SLOVINSKO
Řízené plování (EUR)
Vstoupilo do ERM II 27. Nejpozději do začátku června 2004 s pásmem +/roku 2007 15% od centrální parity
P I N A (E)
S K U P I
UVAŽOVANÉ ZMĚNY KURZOVÝCH REŽIMŮ
N A (F)
NE
NE (přibližně 2007)
NE v roce 2005 nebo 2006, (pokračování režimu účast pouze po nezbytně plovoucího kurzu a inflačního dlouhou dobu cílení)
Pramen: Konvergenční programy nových členských zemí EU, interní materiál ČNB vypracovaný Ivo Zemanem.
NE
65
(VI.) Equilibrium Real Exchange Rate
66
The Real Exchange Rate Development Table 1 – Development of the average exchange rates and inflation differentials 2 (5) years before hypothetical/real euro area entry REAL EXCHANGE RATE Country / Variable
2y backwards
Group C
Group B
Group A
Mean
SD
5y backwards
Mean
NOMINAL EXCHANGE 2y backwards
5y backwards
SD
Mean
SD
Mean
0.000
0.000
SD
INFLATION DIFFERENTIAL 2y backwards
Mean
Mean
-0.633 0.967 -1.963
1.397
0.000
Lithuania (LTL)
1.126
1.728 -3.778
6.284
-0.917 1.744 -4.855 5.870 -2.019 0.589 -1.090 1.039
Latvia (LVL)
6.018
4.151 -1.005
7.948
7.940
3.483
0.678
4.756 1.848
1.417 1.360
1.195
Cyprus (CYP)
-1.154 1.375 -1.298
1.599
0.843
0.933
0.192
0.914 2.037
1.524 1.529
1.448
Malta (MTL)
3.032
2.720 -0.963
4.329
3.010
1.916 -0.258 3.678 0.002
1.156 0.746
1.220
Czechia (CZK)
0.497
5.878 -3.152
5.891
0.162
5.898 -2.122 5.304 -0.332 0.933 1.109
1.469
Hungary (HUF)
-1.673 4.582 -5.072
4.643
2.201
5.039
0.336
8.076 3.933
1.140 6.089
2.351
Poland (PLN)
12.040 4.873 -0.141 11.849 12.093 4.490
2.848
9.756 0.064
0.794 3.308
3.603
Slovakia (SKK)
-7.693 3.869 -7.150
5.140
-2.343 2.325 -0.700 4.558 5.886
2.643 7.075
3.946
Slovenia (SIT)
-0.864 0.910 -1.010
0.951
3.389
0.673
4.632
1.483 4.302
1.441 5.706
1.573
Spain (ESP)
-0.034 0.569 -0.856
5.630
0.455
0.491
2.156
4.881 0.491
0.554 1.578
1.034
Portugal (PTE) Ireland (IEP)
-1.048 1.814 -0.533 -2.372 6.448 0.564
3.663 4.558
-0.041 1.793 1.163 4.170 1.023 1.048 1.694 0.972 -1.737 7.298 -0.478 6.073 0.598 1.073 0.360 0.832
Greece (GRD)
4.886
6.081
1.199
0.088
2.867
1.314
0.980 1.985
SD
Estonia (EEK)
3.989
0.000 0.646
SD
5y backwards
4.049 -3.355 5.146 1.469
Notes: a) calculations based on average monthly market exchange rate against DEM and monthly CPI indexes. b) (-) appreciation/decrease, (+) depreciation/increase c) calculation for 2 and 5 years before the hypothetical (group A,B) and real (group d) euro area entry, i.e. for group A and B: end of June 2004 and 2 (5) years backwards, for Spain, Portugal and Ireland: January1997- December1998, (January1994 - December 1999) and for Greece: January 1999-December 2000 (January 1996 - December 2000) Sources: Eurostat, IMF-IFS CD-ROM and authors’ calculations
1.436
5.244
appreciation 67
Chart 2: Trend Appreciation of the Equilibrium Real Exchange Rate Q: level of the real exchange rate Undervalue d both in terms of PPP and levels of productivity
Quick appreciation towards equilibrium
A’
PPP zone corresponding to prevailing productivity and price levels
B-S effect: and PPI-based trend appreciation towards PPP target because of speedy economic catch-up
A Undervaluation in terms of PPP, but fairly valued in terms of levels of productivity
Equilibrium real exchange rate
B A’’ C
Overvalued in terms of levels of productivity, but still undervalued in terms of absolute PPP
1+µ -
1 -
PPP zone
1-µ time FEER,BEER, medium-term NATREX: 3-8 years Long-run NATREX:5-15 years B-S effect and PPI-based real appreciation: 15-30 years Purchasing Power Parity: 30-100 years Source: Égert (2003), Chart 3, p. 55.
68
„basic terms and definitions“ • (RER): real exchange rate = e+p*-p (decrease of the RER index correspondes to appreciation)
• (ERER): Equilibrium exchange rate = rate on which is an economy in the internal and external equilibrium • real exchange rate misalignment = fitted values of the equilibrium exchange rate - actual index of the RER (positive values correspond to overvaluation)
• EU 8 = EU 5 (Czech Republic, Hungary, Poland, Slovakia and Slovenia) + Baltic Statec (Estonia, Latvia, Lithuania)
69
„economics strategy“ a) “GARCH” type of analysis
CHEERs Capital Enhanced Measures of the Equilibrium Exchange Rates
Equilibrium real exchange rate BEERs Behavioral Equilibrium Exchange Rates
PEERs Permanent and Transitory Decompositions of Real Exchange Rates
Balance of payments approach
SVARs modelling
The InternalExternal Balance Approach
FEERs
Reduce d form
NATREX
Structural form
70
SUMMARY OF RELATED STUDIES STUDY
PROD GOV
OPEN
−
lonso-Gamo et al. (2002)
−
vallone and Lahrèche-Révil (1999)
−
−
+
egg et al. (1999)
−
−
−
itans (2002)
−
− +
− +
itans and Tillers (2003)
−
urgess et al. (2003)
−
oricelli and Jazbec (2001)
−
oudert (1999)
−
sajbók (2003)
−
arvas (2001)
−
e Broeck and Sløk (2001)
−
obrinsky (2003)
−
gert and Lahrèche-Révil (2003)
−
gert and Lommatzsch (2003)
−
lipozzi (2000)
−
scher (2002)
−
rait and Komárek (1999, 2001)
−
alpern and Wyplosz (1997)
−
innosar et al. (2003)
−
MF (1998)
−
azaks (2000)
−
im and Korhonen (2002)
−
rajnyák and Zettelmeyer (1998)
−
ommatzsch and Tober (2002b)
−
Maurin (2001)
−
ahn (2003)
−
andveer and Rell (2002)
−
awdanowicz (2003)
−
TOT
INV
FD
PC (S)
RP
FDI
2 −
−
5 3
−
−
3 3 −
3 2
+ −
4 3
+
− −
variab.
2
− +
− −
− −/+
−
• Different results due to diff.: - time horizons - econometric techniques - methodological approaches - sets of explanatory variables….
6 3 2
+ −
2 1 −/+
−
+
−
5
− −/+ +
−
2
+
4
−
−
(−)
−
4 2
−
−
3
+
− +
+
−
+
−
4 2 4 1
+
−
MacDonald and Wójcik (2002)
RIRD
−/+ +
lberola (2003)
eguna (2002)
NFA
−/+ −
3
− −
−
−
4 4
+
−
3 − −
ubaszek (2003)
−
− +
2
−
3 2 3
etlov (2002)
−
umber of ‘−’ umber of ‘+’
31 0
10 2
4 7
8 5
9 3
7 2
2 1
1 3
2 0
2 0
2 0
X X
otal number of studies
31
12
11
11
10
9
3
3
2
2
2
X
+
71
STUDY
PERIOD & PERIODICITY
Begg et al. (1999)
1970-1995, 5Y
Coudert (1999)
1997-1997, Y
De Broeck and Sløk (2001)
1991-1998, Y
Dobrinsky (2001)
1993-1999, Y
Maeso-Fernandez, Osbat, Schnatz (2004)
1975 – 2002, Y
Fischer (2002)
1993-1999, Y/Q
Halpern and Wyplosz (1997)
1970-1990, 5Y
PANEL GLS FEOLS, REOLS FEOLS, PMGE GLS EC, FMOLS, DOLS, PMGE FEOLS, FESUR, PMGE FEOLS FMOLS, PMGE, MGE FEOLS, REOLS
Kim and Korhonen (2002)
1991-1999, Y
Krajnyák and Zettelmeyer (1998)
1990-1995,Y
MacDonald and Wójcik (2002)
1995-2001, Q
DOLS
Maurin (2001)
1990-1998, Y
FEOLS
Rahn (2003)
1990/1993 – 2002, Q
FMOLS
Sign of explanatory variables / no. of other variables PROD(−), GOV(−), OPEN(−) / 2 PROD(−), FD(+) / 0 PROD(−), OPEN(+) / 4 PROD(−), GOV(−) / 2 PROD(−), GOV(−) OPEN (+) / 0 PROD(−), GOV(−), RIRD(−/+), TOT(+) / 1 PROD(−), GOV(−) / 5 PROD(−), GOV(−), OPEN(+), INV(−) / 0
COUNTRIES 85 countries including EU 8 16 countries including H 42 countries including EU 8 and 17 other TE 10 countries = EU 8, BG, RO “First step” *) – annual data for 25 OECD countries 10 countries = EU 8, BG, RO 9 countries = CEEC, BG, RO, RU, HR 5 countries = CEEC
PROD(−) / 3
11 TE countries = EU 8, BG, RO, FSU
PROD(−), NFA(−/+), RIRD(−), RP(−) / 5
4 TE countries = CR, H, SR, SL
PROD(−), GOV(−), RIRD(−), FD(+) / 1 PROD(-), NFA (+) / 0
12 TE countries including EU 8 CR, E, H, P, SL
• Most often applied techniques were fully modified OLS and OLS with fixed effects, nevertheless other techniques (6) were applied to EU 8 too. • Most often studies usually used annual data - quarterly data were employed only 3 studies. 72 • No study (to our knowledge) used the FDI as the explanatory variable.
OUTLINE OF THE BEER APPROACH the actual real exchange rate (RER)
qt = Et ( qt + k ) − ( rt − rt ) + ωt *
the conditional expectation of the period real exchange rate
q
the real interest rates differential
ω t = µ + λ t + et constant
(1) the time-varying risk premium
white noise process
(2)
proxy for the unobserved risk premium
λt = f + ( fs t / fs t* )
(3)
Following Clark and McDonald (1998) the proxy is assumed 73 to be a positive function of the relative fiscal stance.
OUTLINE OF THE BEER APPROACH the conditional expectation of the period real exchange rate
(
) (
E (qt + k | I t ) = E qt + k | I t* + E qt + k | I tT
q
traditional determinants of RER of developed economies
)
(4)
set of determinants that are effective only during transition periods
Applying the assumption of linearity and using equations (2)-(4),(1) can be expressed as:
qt = µ + θ1 X 1,t + θ 2 X 2,t + θ 3 (rt − rt* ) + θ 4 ( fst − fst* ) + et a subset of It*
a subset of ItT
(5)
θ1≠0 θ2⇒0 θ3<0 if the real UIP holds θ4>0 74
5. Fundamental determinants of the RER Real exchange rate - decomposition to the ID and NER (i) Czech Republic
(ii) Hungary
(iii) Poland
350
350
140
300
300
120
250
250
100
200
200
80
150
150
60
100
100
160
(iv) Slovakia 240 200 160 120
93
94
95
96
97
98
RER_CPI_CR
99
00
01
NER_CR
02
93
03
94
95
96
97
98
RER_CPI_H
ID_CR
(v) Slovenia
99
00
01
NER_H
02
200
93
03
94
95
96
97
98
RER_CPI_P
ID_H
(vi) Estonia
240
40
50
50
40
80
99
00
01
NER_P
02
93
03
(vii) Latvia
94
95
96
97
98
RER_CPI_SR
ID_P
99
00
01
NER_SR
02
03
ID_SR
(viii) Lithuania
350
280
600
300
240
500
250
200
200
160
150
120
100
80
50
40
400 300
160
120
93
94
95
96
97
RER_CPI_SL
98
99
00
NER_SL
01
02
03
ID_SL
100 0
0
0
80
200
93
94
95
96
97
RER_CPI_E
98
99
00
NER_E
01
02
03
ID_E
93
94
95
96
97
RER_CPI_LA
98
99
00
NER_LA
01
02
03
ID_LA
93
94
95
96
97
RER_CPI_LI
98
99
00
NER_LI
ID = inflation differential (P*/P), NER = nominal exchange rate
01
02
03
ID_LI
75
Real exchange rate - decomposition to the ID and NER (i) Czech Republic
(ii) Hungary
(iii) Poland
(iv) Slovakia
120
110
110
100
110
100
100
90
100
90
90
80
90
80
80
70
80
70
70
70
60
60
60
50
110
60 50 95
96
97
98
99
00
REER_CPI_CR REER_ULC_CR
01
02
03
95
96
RER_CPI_CR RER_PPI_CR
(v) Slovenia
97
98
99
00
REER_CPI_H REER_ULC_H
01
02
97
98
99
00
REER_CPI_P REER_ULC_P
01
02
03
90
60
85
50
96
97
98
99
REER_CPI_SL REER_ULC_SL
00
01
02
03
RER_CPI_SL RER_PPI_SL
RER_CPI RER_PPI REER_CPI REER_ULC
99
00
01
02
03
RER_CPI_SR RER_PPI_SR
100 90 80 70
70
95
98
110
80 70
97
120
100
80
95
96
(viii) Lithuania
90 100
95
REER_CPI_SR REER_ULC_SR
110
90
50
RER_CPI_P RER_PPI_P
(vii) Latvia
100
105
96
RER_CPI_H RER_PPI_H
(vi) Estonia
110
95
03
60
60
95
96
97
98
99
REER_CPI_E REER_ULC_E
00
01
02
RER_CPI_E RER_PPI_E
03
50 40
50 95
96
97
98
99
REER_CPI_LA REER_ULC_LA
00
01
02
RER_CPI_LA RER_PPI_LA
03
95
96
97
98
99
REER_CPI_LI REER_ULC_LI
00
01
02
03
RER_CPI_LI RER_PPI_LI
Overall similar behaviour of real exchange rates (significantly different only REER_ULC for Slovenia) 76
Fundamental Determinants of the Equilibrium Exchange Rate [1] [2] [3] [4] [5] [6] [7]
Productivity and productivity differential Foreign direct investment Terms of trade Openness Net foreign assets Real interest rates differential Government spending
= = = = = = =
It* ItT It* ItT It* It* It*
77
[1] Productivity Productivity and productivity differential (dprod; -) = GDP_R/E - via „price“ chanel: ↑dprod ⇒ higher domestic π ↑ (p↑) ⇒ rer ↓ [rer= ner + (p*-p)] (this channel is associated with the well known Ballasa-Samuelson effect)
- via „exchange rate“ chanel: ↑dprod ⇒ higher economic growth ⇒ higher demand for the domestic currency relative to the foreign currency ⇒ ner ↓ ⇒ rer ↓ Overall: An increase in productivity should result in an appreciation of the RER.
78
Productivity differential (i) Czech Republic
(ii) Hungary
4.72
4.68
(iii) Poland
4.75
4.9
4.70
4.8
4.65
4.7
4.60
4.6
4.55
4.5
4.50
4.4
4.45
4.3
(iv) Slovakia 4.76 4.72 4.68
4.64
4.64 4.60
4.60
4.56 4.52
4.56
4.52 93
94
95
96
97
98
99
00
01
02
03
93
94
95
96
97
DPROD_CR
98
99
00
01
02
03
4.48 4.44
93
94
95
96
97
DPROD_H
(v) Slovenia
99
00
01
02
4.9
4.9
4.75
4.8
4.8
4.65
4.5
4.3
4.40 93
94
95
96
97
98
99
00
DPROD_ SL
01
02
03
97
98
99
00
01
02
03
01
02
03
5.0 4.9 4.8
4.5
4.45
96
(viii) Lithuania
4.6
4.6 4.60
4.4
95
4.7
4.7
4.50
94
DPROD_SR
(vii) Latvia
4.80
4.55
93
03
DPROD_P
(vi) Estonia
4.70
98
4.7
4.4
4.6
4.3 4.5
4.2
4.2
4.1 93
94
95
96
97
98
99
DPROD_E
00
01
02
03
4.4 93
94
95
96
97
98
99
00
DPROD_LA
01
02
03
93
94
95
96
97
98
99
00
DP ROD_LI
Productivity differential (prod) - the differential between productivity in the EU 8 countries and Germany calculated as the ratio of real GDP over employment in both countries. Data source: IMF IFS and Eurostat, New Cronos databases (seasonal adjustment by authors) 79
[2] Foreign direct investment Foreign direct investment (fdi; -) = FDI/ GDPN - transition variable, proxy for many channels and effects - via financial account: ↑fdi ⇒ higher supply for foreign currency ⇒
⇒ ner and rer ↓
- via „productivity“ and „price“ channel: ↑fdi ⇒ higher productivity ⇒ π ↑ ⇒
⇒ rer↓
Overall: An increase in fdi should result in an appreciation of the RER, but could be different in the longer time horizon (profit outflows).
80
Foreign direct investment (i) Czech Republic
(ii) Hungary
(iii) Poland
-2.0
.12
-2.5
-2.4
.10
-3.0
.08
-2.8
(iv) Slovakia -1 -2
-3.5
-3
.06
-3.2
-4.0
.04
-3.6 -4.0
.00
-4.4
-.02
93
94
95
96
97
98
99
00
01
02
-5
-5.0
93
03
-4
-4.5
.02
94
95
96
97
98
99
00
01
02
03
-5.5 93
94
95
96
97
FDI_4_H
FDI_CR
(v) Slovenia
00
01
02
03
-6 93
94
95
96
97
-2.0
-2.4
-2.4
-4.0
-2.8
-2.8
-4.5
-3.2
-3.2
-3.6
-3.6
98
99
00
01
02
03
00
01
02
03
FDI_SR
(vii) Latvia
-2.0
-3.0
99
FDI_P
(vi) Estonia
-2.5
98
(viii) Lithuania -2.0 -2.5
-3.5
-3.0 -3.5 -4.0
-5.0 -5.5 -6.0
-4.0 93
94
95
96
97
98
99
FDI_SL
00
01
02
03
-4.5
-4.0 93
94
95
96
97
98
99
FDI_E
00
01
02
03
-5.0 93
94
95
96
97
98
99
FDI_LA
00
01
02
03
93
94
95
96
97
98
99
FDI_LI
Foreign direct investment (fdi) - the ratio of net foreign direct investments over nominal GDP calculated from four quarters moving averages, both denominated in national currency. Data source: IMF IFS database (seasonal adjustment by authors) 81
[3] Terms of trade Terms of trade (tot; -) = Pex/Pim - endogenous improvement:
↑tot ⇒ Pex rise due to quality improvement ⇒ domestic prices (p)↑ ⇒ rer ↓ - exogenous improvement:
↑tot ⇒ because of a positive shock to TOT (decrease in prices of raw materials ⇒ substitution effect (firms produces more exportable and less non-tradable goods) ⇒ AS ↑ ⇒ wT↑∧ wNT↑ ⇒ PNT ↑ ⇒ domestic prices (p)↑∧ CA (improves) ⇒ rer ↓ (if country mainly imports raw materials) Our model: An increase in tot should result in an appreciation of the RER.
82
Terms of trade (i) Czech Republic
(ii) Hungary
(iii) Poland
4.62
4.64
4.80
4.60
4.63
4.76
4.58
(iv) Slovakia 4.64 4.63 4.62
4.72
4.62
4.56
4.61
4.68
4.60
4.64
4.59
4.61 4.54 4.60
4.52
4.57
4.50
4.59
4.56
4.48
4.58
4.52
93
94
95
96
97
98
99
00
01
02
03
4.58
4.60
93
94
95
96
97
TOT_CR
98
99
00
01
02
03
4.56 4.55 93
94
95
96
97
TOT_H
(v) Slovenia
00
01
02
03
4.56
96
97
98
99
TOT_SL
00
01
02
03
01
02
03
00
01
02
03
4.55
4.52
4.52 95
00
4.60
4.56
94
99
4.65
4.60
4.60
93
98
4.64
4.57
4.55
97
4.70
4.68
4.64
4.56
96
4.75
4.72 4.68
4.58
95
4.76
4.72
4.59
94
(viii) Lithuania
4.80
4.61 4.60
93
TOT_SR
(vii) Latvia
4.76
4.62
99
TOT_P
(vi) Estonia
4.63
98
4.48 93
94
95
96
97
98
99
TOT_E
00
01
02
03
4.50 93
94
95
96
97
98
99
TOT_LA
00
01
02
03
93
94
95
96
97
98
99
TOT_LI
Terms of trade (tot) - the ratio of export and import price indices in each economy. Data source: Eurostat, New Cronos database (seasonal adjustment by authors). 83
[4] Openness Openness (open; ambiguous) = (Ex+Im)/GDPN - open as liberalisation phenomenon: higher trade restrictions (tightening of trade policy) ⇒
PT↑ ⇒ domestic prices
(p)↑ ⇒ rer ↓ - open as country risk phenomenon: more open economy ⇒ smaller country risk NMS: higher open of NMS (especially due to the trade liberalisation ∧ lower country risk) should lead to the appreciation of RER. However, the transformation aspect is gradually decreasing. Our model: Overall effect is ambiguous. 84
Openness (i) Czech Republic
(ii) Hungary
4.9
(iii) Poland
5.0 4.8
4.8
(iv) Slovakia
5.1
5.0
5.0
4.9
4.9 4.6
4.8
4.8
4.7 4.4
4.7
4.7
4.6
4.6
4.6
4.2
4.5
4.5
4.5
4.0
4.4
3.8 93
94
95
96
97
98
99
00
01
02
03
4.4
4.4 4.3 93
94
95
96
97
OPEN_CR
98
99
00
01
02
03
4.3 93
94
95
96
97
OPEN_H
(v) Slovenia
4.7
01
02
03
5.0
5.6
4.9
5.4
4.8
95
96
97
98
99
OPEN_SL
00
01
02
03
98
99
00
01
02
03
00
01
02
03
5.2 5.0 4.8
4.5
4.6
4.4
4.1 94
97
4.6
4.2 93
96
4.7
4.3
4.2
95
(viii) Lithuania
4.8
4.4
4.3
94
OPEN_SR
4.5
4.4
93
4.9
4.6
4.5
00
(vii) Latvia
4.7 4.6
99
OPEN_P
(vi) Estonia
4.8
98
4.3 93
94
95
96
97
98
99
OPEN_E
00
01
02
03
4.4 93
94
95
96
97
98
99
OPEN_LA
00
01
02
03
93
94
95
96
97
98
99
OPEN_LI
Openness (open) - the ratio of the sum of exports and imports relative to nominal GDP, all denominated in national currency. Data source: Eurostat, New Cronos databases (seasonal adjustment by authors). 85
[5] Net foreign assets Net foreign assets (nfa; -) = NFA/GDPN NFA ↑ ⇒ domestic income ↑ ⇒ larger expenditure on domestic goods ⇒ PNT↑ ⇒ domestic prices (p)↑ ⇒ rer ↓ Overall: An increase in nfa should result in an appreciation of the RER.
86
Net foreign assets (i) Czech Republic
(ii) Hungary
0.5
(iii) Poland
0.2
-0.3
0.0
-0.6
97
98
99
00
01
02
03
0.2 0.0 -0.2
-1.1
-1.0 96
0.4
-0.8
-1.0
-0.8
95
-0.7
-0.9
-1.0
94
0.6
-0.6
-0.4
93
0.8
-0.5
-0.2
-1.5
1.0
-0.4
0.0
-0.5
(iv) Slovakia
-1.2 93
94
95
96
97
NFA_CR
98
99
00
01
02
03
-0.4 93
94
95
96
97
NFA_H
(v) Slovenia
00
01
02
03
0.0
0.0
-2.5
-2.0 97
98
99
00
NFA_SA_SL
01
02
03
01
02
03
00
01
02
03
-1.1
-1.6
-1.2 96
00
-1.0
-2.0
95
99
-0.9
-1.2
94
98
-0.8
-1.5
93
97
-0.7
-0.6
-1.4
96
-0.6
-1.0
-1.0
95
-0.5
-0.8
-0.8
94
(viii) Lithuania
-0.5
-0.4
-0.4
93
NFA_SR
(vii) Latvia
0.0 -0.2
99
NFA_P
(vi) Estonia
0.2
98
-1.2
-3.0 93
94
95
96
97
98
99
NFA_E
00
01
02
03
-1.3 93
94
95
96
97
98
99
NFA_LA
00
01
02
03
93
94
95
96
97
98
99
NFA_LI
Net foreign assets (nfa) - The ratio of net foreign assets relative to nominal GDP, both denominated in national currency. Data source: IMF IFS database (seasonal adjustment by authors). 87
[6] Real interest rates diff. Real interest rate differential (drir; -) = real LR- real LR* drir↑ ⇒ higher demand for domestic assets ⇒ rer ↓ (currently), but also indicates - according to UIP condition - depreciation expectations in the future. More complex view:
↑ (relative to savings) ⇒ upward pressure on the RIR (if capital mobility is not perfect) ⇒ demand for T and NT ↑ ⇒ rer ↓ absorption
Our model: An increase in drid should result in an appreciation of the RER.
88
Real interest rates differential (i) Czech Republic
(ii) Hungary
8
25
6
20
(iii) Poland
(iv) Slovakia
30
20 15
20
4
15
10
2 10
10
5
0 5
-2
0 0
0
-4 -6
-5
-5 93
94
95
96
97
98
dLR_N_CR
99
00
01
02
03
-10 93
94
95
dLR_R_CR
96
97
98
dLR_N_H
(v) Slovenia
99
00
01
02
03
-10 93
94
95
dLR_R_H
96
97
98
dLR_N_P
(vi) Estonia
99
00
01
02
03
30
70
50
25
60
40
20
30
15
94
95
96
97
98
99
dLR_N_SR
(vii) Latvia
60
93
dLR_R_P
00
01
02
03
02
03
dLR_R_SR
(viii) Lithuania 120 80
50 40
40
30 20
10
10
5
0
0
-10
10
94
95
96
97
98
dLR_N_SL
99
00
01
dLR_R_SL
02
03
-40
0
-5 93
0
20
-80
-10 93
94
95
96
97
98
dLR_N_E
99
00
01
dLR_R_E
02
03
93
94
95
96
97
98
dLR_N_LA
99
00
01
dLR_R_LA
02
03
93
94
95
96
97
98
99
dLR_N_LI
00
01
dLR_R_LI
The differential between domestic and foreign and lending rates deflated by Czech and German inflation rates, respectively. Data source: IMF IFS database. 89
[7] Government spending Government spending (gs;+, ambiguous) = GS/GDPN - in the short run
GS ↑ ⇒ public consumption ↑ (due to a higher share of NT goods in public consumption relative to private consumption) ⇒ demand for NT goods ↑ ⇒ PNT↑ ⇒ domestic prices (P)↑ ⇒ rer ↓ - in the long run (middle run)
∑ GS ↑ ⇒ growing budget deficit ⇒ possible destabilisation of an economy (if current GS > then sustainable GS ≈ Maastricht criterium) ⇒ rer ↑ Our model: An increase in gs should result in an appreciation of the RER. 90
Government spending (i) Czech Republic
(ii) Hungary
(iii) Poland
-4.2
-3.70 -3.75
-4.3
-3.80
-4.4
-3.85 -3.90
-4.5
-3.95
-4.6
-4.00 -4.05 93
94
95
96
97
98
99
00
01
02
03
(iv) Slovakia
-4.00
-3.65
-4.04
-3.70
-4.08
-3.75
-4.12
-3.80
-4.16
-3.85
-4.20
-3.90
-4.24
-3.95
-4.28
-4.7 93
94
95
96
97
GS_CR
98
99
00
01
02
-4.00 93
03
94
95
96
97
(vi) Estonia
-3.5
00
01
02
03
93
94
95
96
97
-3.6
-3.6
-3.6
-3.7
-3.8
-3.8
-3.8
-3.9
-3.9
-3.9
-4.0
-4.0
00
01
02
03
00
01
02
03
-3.8
-3.7 -3.7
99
(viii) Lithuania
-3.5
-3.7
98
GS_SR
(vii) Latvia
-3.5
-3.6
99
GS_P
GS_H
(v) Slovenia
98
-3.9 -4.0 -4.1
-4.0
93
94
95
96
97
98
99
GS_SL
00
01
02
03
-4.2
-4.1
-4.3
-4.2 93
94
95
96
97
98
99
GS_E
00
01
02
03
-4.4 93
94
95
96
97
98
99
GS_LA
00
01
02
03
93
94
95
96
97
98
99
GS_LI
Government spending (gs) - total government consumption over nominal GDP was used as a proxy for non-tradable government consumption due to a lack of data, both denominated in national currency. Data source: IMF IFS and Eurostat, New Cronos databases 91 (seasonal adjustment by authors).
However….. - ERDI values? Figure 1: Real exchange rate and ERDI of the EU 5 countries
a) the real exchange rate in the EU 5 (logs)
b) ERDI in the EU 5 (index)
4.9
3.2
4.8 2.8
4.7 4.6
2.4
4.5 2.0
4.4 4.3
1.6
4.2 4.1
1.2 95
96
97
98
99
00
01
02
03
95
96
97
98
99
00
01
02
03
Sources: Eurostat, IMF-IFS CD-ROM and author calculations
92
„econometrics strategy“ Equilibrium real exchange rate
Country by country analysis
Johansen approach
ARDL approach
DOLS approach
Cross section analysis
Panel data analysis
SVAR modelling
“Out of sample approach” “In sample approach”
E-G approach
93
10. Single equation results Figure 2: Real exchange rate misalignments of the Czech koruna
a) total misalignment (+/- standard deviation)
b) statistical approaches
.10
.12
.05
.08
.00
.04
-.05
.00
-.10
-.04
-.15
-.08 95
96
97
98
99
00
01
02
03
95
96
97
98
99
M_CR_BP
c) BEER (current levels of fundamentals)
00
01
02
03
M_CR_HP
d) BEER (sustainable levels of fundamentals)
.10
.08
.05
.04
.00
.00
-.05 -.04 -.10 -.08
-.15
-.12
-.20 -.25
-.16 95
96
97
98
M_CR_EGX
99
00
01
02
M _CR_ARDLX
03
95
96
97
98
99
M_CR_EG
Source: Author calculations based on Eurostat and IMF-IFS data. Note: Misalignment = fitted – actual values. Positive values correspond to overvaluation.
00
01
02
03
M_CR_ARDL
94
Figure 3: Real exchange rate misalignments of the Hungarian forint
a) total misalignment (+/- standard deviation) .12
b) statistical approaches .08 .06
.08
.04 .04
.02
.00
.00 -.02
-.04
-.04 -.08
-.06
-.12
-.08 95
96
97
98
99
00
01
02
03
95
96
97
98
99
M_H_BP
c) based on current level of fundamentals
00
01
02
03
M_H_HP
d) based on sustainable levels of fundamentals
.08
.06 .04
.04
.02 .00
.00
-.02 -.04
-.04 -.06
-.08
-.08 -.12
-.10 95
96
97
98
M_H_ EGX
99
00
01
02
M_H_ARDLX
03
95
96
97
98
99
M_H_ EG
Source: Author calculations based on Eurostat and IMF-IFS data . Note: Misalignment = fitted – actual values. Positive values correspond to overvaluation.
00
01
02
03
M_H_ARDL
95
Figure 4 - Real exchange rate misalignments of the Polish zloty a) total misalignment (+/- standard deviation)
b) statistical approaches
.16
.20
.12
.15
.08
.10
.04
.05
.00
.00
-.04
-.05
-.08
-.10
-.12
-.15 95
96
97
98
99
00
01
02
03
95
96
97
98
99
M_P_BP
c) BEER (current levels of fundamentals)
00
01
02
03
M_P_HP
d) BEER (sustainable levels of fundamentals)
.12
.15
.08
.10
.04
.05
.00
.00
-.04
-.05
-.08
-.10
-.12
-.15 95
96
97
98
M_P_EGX
99
00
01
02
M_P_ARDLX
03
95
96
97
98
99
M_P_E G
Source: Author calculations based on Eurostat and IMF-IFS data . Note: Misalignment = fitted – actual values. Positive values correspond to overvaluation.
00
01
02
03
M_P_ARDL
96
Figure 5: Real exchange rate misalignments of the Slovak koruna
a) total misalignment (+/- standard deviation) .15
b) statistical approaches .08
.10
.04
.05 .00 .00 -.04 -.05 -.08
-.10 -.15
-.12 95
96
97
98
99
00
01
02
03
95
96
97
98
99
M_SR_BP
c) BEER (current levels of fundamentals)
00
01
02
03
M_SR_HP
d) BEER (sustainable levels of fundamentals) .12
.2
.08
.1
.04
.0 .00
-.1
-.04
-.2
-.08 -.12
-.3 95
96
97
98
M_SR_E GX
99
00
01
02
M_S R_ARDLX
03
95
96
97
98
99
M_ SR_EG
Source: Author calculations based on Eurostat and IMF-IFS data . Note: Misalignment = fitted – actual values. Positive values correspond to overvaluation.
00
01
02
03
M_SR_ARDL
97
Figure 6: Real exchange rate misalignment of the Slovenian tolar a) total misalignment (+/- standard deviation)
b) statistical approaches
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02 -.03
-.02
-.04
-.03
-.05
-.04 95
96
97
98
99
00
01
02
03
95
96
97
98
99
M_SL_BP
c) BEER (current levels of fundamentals)
00
01
02
03
M_SL_HP
d) BEER (sustainable levels of fundamentals)
.04
.04
.03
.03
.02
.02
.01
.01
.00
.00
-.01
-.01
-.02 -.03
-.02
-.04
-.03
-.05
-.04 95
96
97
98
M_SL_EGX
99
00
01
02
M_SL_ARDLX
03
95
96
97
98
99
M_SL_E G
Source: Author calculations based on Eurostat and IMF-IFS data . Note: Misalignment = fitted – actual values. Positive values correspond to overvaluation.
00
01
02
03
M_SL_ARDL
98
The BEER and the central parity for ERM2 Scenario I – continuos depreciation trend
Scenario II – continuous appreciation trend +
Pre-ERM2 stage
ERM2 stage
NER
Pre-ERM2 stage
+
Central parity - CP
ERM2 stage
Central parity - CP
NER announcement of the ERM2 entry
announcement of the ERM2 entry
-
Scenario III – depreciation followed by appreciation
-
Scenario IV – appreciation followed by depreciation
+
+ Central parity Central parity - CP
NER NER announcement of the ERM2 entry
-
announcement of the ERM2 entry
99
(VII.) Current monetary policy and macroeconomic outlook
100
Inflation and inflation targets in the CR 14 13 consumer prices
12
net inflation
11 10 9 8
target 1998 6% +/- 0,5p.b. (announced in December 1997)
v%
7 6
target 2000 4,5 +/- 1p.b. (announced in December 1997)
start of the target band 3-5%
5 target 1999 4,5 +/- 0,5p.b. (announced in November 1998)
4 3
end of the target band 2-4%
target band 2002-2005 (announced in April 2001)
2
point target 3% since 2006 (announced in March 2004)
target 2001 3% +/- 1p.b. (announced
1 0 1/96 -1
1/97
1/98
1/99
1/00
1/01
1/02
1/03
1/04
1/05
1/06
1/07
Inflation in the Czech Republic 15 13
targeting of M2 and until May 26, 1997 ER as well
inflation targeting
11
in %
9 7
CPI inflation inflation expectations
5 3 1 -11995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
Inflation target and inflation forecast 5
inflation forecast
4 target band
3 2 1 0
actual inflation
inflation target since 1/06 monetary policy horizon
-1 1/04 4/04 7/04 10/04 1/05 4/05 7/05 10/05 1/06 4/06 7/06 10/06 1/07 4/07 7/07
103
Inflation in the Czech Republic - consumer, producer and general price indices 16
16
12
12
8
8
4
4
0
0
-4 1995
1996
1997
Y -O -Y _ C P I
1998
1999
2000
Y -O -Y _ P P I
2001
2002
-4 2003
Y -O -Y _ D E F L
Inflation CPI and HICP 0.7
CPI > HICP
0.6 0.5 0.4 0.3 0.2 0.1 0 -0.1 -0.2 -0.3 2000:1
2001:1
2002:1
2003:1
2004:1
2005:1
Maastricht criterion (Inflation) 3.5 3.0
CPI > HICP
EU 15
v%
2.5 2.0
EU 25
1.5 1.0 0.5 0.0 1999
2000
2001
2002
2003
průměr 3 nejlepších
průměr 3 nejlepších
zemí EU 15
zemí EU 25
2004
2005
Exchange rate in the Czech Republic 18
12 depreciation
in %
6
band +/-7,5% Feb 28.1996 - May 27.1997
band +/-0,5% Sep 27. 1992 - Feb 2.1996
the level of ER against the former currency basket (65% DEM, 35% USD)
0
-6 appreciation -12 targeting of M2 and until May 26, 1997 ER as well
inflation targeting
-18 1/91
1/92
1/93
1/94
1/95
1/96
1/97
1/98
1/99
1/00
1/01
1/02
1/03
1/04
1/05
Exchange rate in the Czech Republic 42
depreciation margin = central parity + 15%
40 CZK/EUR 38
36
34
32
central parity = CZK/EUR Jan. 1, 1999
30
28 1.1.99
apreciation margin = central parity - 15% 1.1.00
1.1.01
1.1.02
1.1.03
1.1.04
1.1.05
Currency appreciation during 2002-2003 40
40 y-o -y c h a n g e s in %
30
30
20
20
10
10
0
0
-1 0
-1 0
-2 0
-2 0 0 0 :0 7
0 1 :0 1
b a s k e t (6 5 :3 5 )
0 1 :0 7
0 2 :0 1
0 2 :0 7
C ZK _ E U R
0 3 :0 1
0 3 :0 7
C ZK _ U S D 109
1. 8. 20 01 5. 9. 20 11 01 .1 0. 20 15 01 .1 1. 20 20 01 .1 2. 20 30 01 .0 1. 20 06 02 .0 3. 20 11 02 .0 4. 20 20 02 .0 5. 20 24 02 .0 6. 20 30 02 .0 7. 20 03 02 .0 9. 20 08 02 .1 0. 20 13 02 .1 1. 20 18 02 .1 2. 20 28 02 .0 1. 20 04 03 .0 3. 20 08 03 .0 4. 20 16 03 .0 5. 20 20 03 .0 6. 20 25 03 .0 7. 20 03
Is there value added in ERM2?
38
36
34
32
30
28
26
24
CZK/EUR "central parity" ±2,25% ±15%
3/ 1/ 00 3/ 3/ 0 2/ 0 5/ 0 1/ 0 7/ 0 30 0 /8 29 / 00 /1 0 28 /00 /1 2/ 0 26 0 /2 / 27 01 /4 / 26 01 /6 /0 25 1 /8 24 / 01 /1 0 23 /01 /1 2/ 0 21 1 /2 / 22 02 /4 / 21 02 /6 /0 20 2 /8 19 / 02 /1 0 18 /02 /1 2/ 0 16 2 /2 / 17 03 /4 / 16 03 /6 /0 15 3 /8 /0 3
interest rates differential p.a. (in per cent)
Interest rates differential disappeared 2.5
2.0
1.5
1.0
0.5
0.0
-0.5
-1.0
CZK 2Y - EUR 2Y CZK 10Y - EUR 10Y CZK 10Y - USD 10Y
111
Long-run stability of the Czech Crown 150
150
140
140
130
130
120
120
110
110
100
100
90
90
80
80 93
94
95
C ZK _ E U R
96
97
98
99
C ZK _ U S D
00
01
02
03
b a s k e t ( 6 5 :3 5 ) 112
Acession countries and Maastricht criteria HICP Fiscal deficit Public debt Long-term 1 inflation (% of GDP) (% of GDP yields12 2.8 -3.5 58.6 5.4 10-y 1.4 -6.7 26.9 4.6 10-y 3.6 1.3 5.8 --5.3 -9.2 56.3 7.1 10-y 2.0 -3.0 15.2 5.3 5-y 0.4 -2.0 22.7 6.0 10-y 2.2 -6.2 66.4 5.7 10y 1.9 -4.1 41.8 7.3 10-y 3.3 -7.2 42.6 6.9 10-y 7.5 -2.6 28.3 3.4 5-y 2.8 -4.8 39.9 6.4 2.9 -3.0 60.0 6.9
Exchange rate regime3 ERMII shadow float CBA (euro) ERMII shadow Peg to SDR CBA (euro) peg to basket float managed float managed float
Cyprus Czech Rep. Estonia Hungary Latvia Lithuania Malta Poland Slovakia Slovenia AC-104 Reference value Shaded areas indicate compliance. 1) Period average. 2) Period average, some countries still lack liquid market for long-term government bonds. 3) IMF classification. 4) Weighted by nominal GDP.
Convergence in central bank interest rates Key interest rates in CEE5 countries (in percent)
20 18
Poland
16 14 12
Hungary
10 8 6 4
Slovenia
Slovakia Czech Republic Euro area
2 0 Jan-01
Apr-01
Jul-01
Oct-01
Jan-02
Apr-02
Jul-02
Oct-02
Jan-03
Apr-03
114
Price level and GDP per capita in PPP 120% y = 0,98x - 0,0175 R2 = 0,8993
110% 100% 90% 80%
GRC
70% 60%
PRT
50%
SVN(96)
POL
40%
HUN
RUS
30%
CZE SVK(96)
GDP per capita in PPP (1998, EU=100%)
130%
120%
110%
100%
90%
80%
70%
60%
50%
40%
30%
20% 20%
Price level of GDP (1998, EU=100%)
130%
Unemployment, GDP and CA deficit 11 8 unemployment
5
in %
2 -1 GDP in c.p.
-4 -7
CA deficit/GDP -10 -13 -16 1990
1992
1994
1996
1998
2000
2002
3.Q./2004
Luboš Komárek
[email protected]
117
[8] Current account Government spending (gs;+, ambiguous) = GS/GDPN - in the short run
GS ↑ ⇒ public consumption ↑ (due to a higher share of NT goods in public consumption relative to private consumption) ⇒ demand for NT goods ↑ ⇒ PNT↑ ⇒ domestic prices (P)↑ ⇒ rer ↓ - in the long run (middle run)
∑ GS ↑ ⇒ growing budget deficit ⇒ possible destabilisation of an economy (if current GS > then sustainable GS ≈ Maastricht criterium) ⇒ rer ↑ Our model: An increase in gs should result in an appreciation of the RER. 118
[7] cumulative current account, indebtedness (ca;+) = ∑CA/GDPN Cum CA↑ ≈ approx. of foreign indebtedness of an economy ⇒ higher Cum CA = higher debt servicing (income payments towards the rest of world) ⇒ can undermine the confidence in the currency ⇒ risk premium will increase ⇒ rer ↑ Our model: An increase in ca should result in an depreciation of the RER.
119
Cumulative current account (i) Czech Republic
(ii) Hungary
0.4
(iii) Poland
0.0
(iv) Slovakia
1
0.4
0
0.0
-1
-0.4
-2
-0.8
-3
-1.2
-0.2
0.0
-0.4 -0.4
-0.6
-0.8
-0.8 -1.0
-1.2
-1.2
-1.6
-1.4 93
94
95
96
97
98
99
00
01
02
03
93
94
95
96
97
CA_CUM_CR
98
99
00
01
02
03
.2
CA_CUM_SL
01
02
03
02
93
03
-0.4
-1.2
-0.8
-1.6
-1.2
-2.0
-1.6 94
95
96
97
98
99
00
CA_CUM_E
95
96
01
02
03
97
98
99
00
01
02
03
01
02
03
(viii) Lithuania
-0.8
93
94
CA_CUM_SR
-0.4
-2.4 00
01
0.0
-2.0
99
00
0.4
-1.6
98
99
0.0
-1.2
-.2
98
0.8
.0 -.1
97
0.0
-0.8
97
96
0.4
.1
96
95
(vii) Latvia
-0.4
95
94
CA_CUM_P
(vi) Estonia
.3
94
93
CA_CUM_H
(v) Slovenia
93
-1.6
-4
-2.4 93
94
95
96
97
98
99
00
CA_CUM_LA
01
02
03
93
94
95
96
97
98
99
00
CA_CUM_LI
Current account (ca) - the cumulative current account deficit relative to nominal GDP, both denominated in national currency. Data source: IMF IFS and Eurostat, New Cronos databases (seasonal adjustment by authors). 120
Output, domestic demand and consumption growth 12
Domestic demand
Net exports
GDP c.p.
10 8 6 4 2 0 -2 -4 -6 -8 95/I
III
96/I
III
97/I
III
98/I
III
99/I
III
00/I
III
01/I
III
02/I
III
03/I
