The Bank Lending Channel Asymmetry and the Efficiency of the Polish Interest Rate Monetary Policy during Transition.

Monetary policy; Bank lending channel; Economic transition;

Asymmetric fluctuation bands in ERM and ERM-II: Lessons from the past and future challenges for EU acceding

The forthcoming EU enlargement raises a series of questions related to the new entrants’ entry to Exchange Rate Mechanism II and their subsequent adoption of the single currency. In this paper, the issue of how to determine the central parity for the acceding countries with which to enter ERM-II is tackled. This is followed by a discussion of the asymmetric nature of the fluctuation bands around the central parity that could be deemed as compatible with the Maastricht criterion on exchange rate stability, i.e. +2.25%/-15% within the officially announced ±15% fluctuation margins. Then, practices of the European Monetary Institute/ECB and the European Commission are compared when assessing the criterion on exchange rate stability. With this as a background, hypothetical ERM-II is constructed for 4 acceding countries with flexible exchange rate regimes so as to assess ex post the sustainability of these countries’ participation in ERM-II. Based on this, given ex post exchange rate variability and the limited intra-marginal intervention facilities ERM-II participant countries have at their disposal, the defence of the asymmetric band appears a tricky task even though the +2.25% limit on the weaker side of the band is rendered somewhat intangible by a 10-day moving average rule used by the EMI/ECB and further flexibility is given to the system in that a depreciation of more than 2.25% is not automatically viewed as a non-fulfilment of the criterion on exchange rate stability.http://deepblue.lib.umich.edu/bitstream/2027.42/39983/3/wp597.pd

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the “Min”Condition

This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly counter-intuitive as regards the timing of the identified regimes. We show that the gap between the econometric evidence and the expected results may stem from the issue of stochastic non-stationarity in a disequilibrium setting based on the “min” condition. We find that the omission of one non-stationary variable of the cointegrating space or the absence of a “structural” cointegrating relationship in one or both regimes lead to a spurious configuration. In such a case, using, wrongly, the standard likelihood function, derived under the hypothesis of stationarity, may lead to non-convergent estimates of structural parameters and, as a consequence, to a fallacious regimes identification. Therefore, as the first approach to this issue, we estimate a disequilibrium model with stationary data. The empirical results are then robust and economically founded and correspond to the set and the timing of anticipated regimes.http://deepblue.lib.umich.edu/bitstream/2027.42/39967/3/wp581.pd

Exports and Property Prices in France: Are they Connected?

France has seen a marked deterioration in its export performance in the last 10 years or so. Previous empirical research pointed out that weak export performance was due to i) vigorous domestic demand; ii) lower mark-ups due to head-to-head competition with Germany; iii) low non-price competitiveness of French export goods; iv) offshoring of entire production processes (especially in the automobile sector); and v) difficulties of French manufacturing firms to reach critical size for exporting. This paper adds an additional explanation to this list. We argue that resource reallocation from the exporting to the construction sector triggered by fast rising property prices hindered France to meet world export demand vis-à-vis its products. Our econometric analysis shows that the resource reallocation argument helps explain French export performance between the early 2000s and 2007, unexplained by traditional models. This result is confirmed for a set of OECD countries that experienced a marked decline in their export performance and sustained real-estate boom after 2000.OECD, France, competitiveness, exports, export performance, construction, house prices, resource allocation

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the “Min”Condition

This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly counter-intuitive as regards the timing of the identified regimes. We show that the gap between the econometric evidence and the expected results may stem from the issue of stochastic non-stationarity in a disequilibrium setting based on the “min” condition. We find that the omission of one non-stationary variable of the cointegrating space or the absence of a “structural” cointegrating relationship in one or both regimes lead to a spurious configuration. In such a case, using, wrongly, the standard likelihood function, derived under the hypothesis of stationarity, may lead to non-convergent estimates of structural parameters and, as a consequence, to a fallacious regimes identification. Therefore, as the first approach to this issue, we estimate a disequilibrium model with stationary data. The empirical results are then robust and economically founded and correspond to the set and the timing of anticipated regimes.monetary standard and regimes, non-stationarity and cointegration, transition, Poland.

Exports and Property Prices in France: Are They Connected?

We argue that resource reallocation from the exporting to the construction sector triggered by fast rising property prices hindered France to meet world export demand vis-à-vis its products. Our econometric analysis shows that the resource reallocation argument helps explain French export performance between the early 2000s and 2007, unexplained by traditional models. This result is confirmed for a set of OECD countries that experienced a marked decline in their export performance and sustained realestate boom after 2000.http://deepblue.lib.umich.edu/bitstream/2027.42/132997/1/wp985.pd

EXPORTS AND PROPERTY PRICES IN FRANCE: ARE THEY CONNECTED?

We argue that resource reallocation from the exporting to the construction sector triggered by fast rising property prices hindered France to meet world export demand vis-à-vis its products. Our econometric analysis shows that the resource reallocation argument helps explain French export performance between the early 2000s and 2007, unexplained by traditional models. This result is confirmed for a set of OECD countries that experienced a marked decline in their export performance and sustained realestate boom after 2000.http://deepblue.lib.umich.edu/bitstream/2027.42/132997/1/wp985.pd

Le canal étroit du crédit : une analyse critique des fondements théoriques

A la suite des travaux de Dale et Haldane (1993), nous effectuons une analyse critique des fondements théoriques du canal étroit du crédit. La conclusion du modèle fondateur de Bernanke et Blinder (1988a,b), à savoir que l’existence d’une imparfaite substituabilité entre titres et crédits conduit à une amplification des actions de politique monétaire par rapport au seul canal monétaire, n’est en réalité qu’un cas particulier du modèle macroéconomique présenté par ces auteurs et qui traduit l’existence de ce que nous appelons un canal étroit positif. Nous explicitons les hypothèses sur lesquelles repose ce résultat et montrons que dans le cas général, les chocs de politique monétaire peuvent également être atténués. Il existerait donc un canal étroit négatif qui viendrait limiter l’efficacité de la politique monétaire par rapport au seul canal monétaire. Dans le cas général, nous établissons que l’indicateur pertinent pour distinguer entre les situations d’amplification et d’atténuation est la variation du spread entre le taux débiteur et le taux des titres, la modification de l’offre de crédit non accompagnée d’une évolution divergente des deux taux d’intérêt ne permettant pas de discriminer entre les deux phénomènes. Ceci conduit à une réinterprétation des résultats de travaux empiriques sur le canal étroit du crédit et à une analyse critique des prolongements théoriques de ce modèle.ou

The Bank Lending Channel Asymmetry and the Efficiency of the Polish Interest Rate Monetary Policy during Transition

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The Challenge of Rapidly Improving Transport Infrastructure in Poland

Following many years of underinvestment, renovating and building new transport infrastructure is an important policy priority that would increase labour mobility and improve Poland’s competitiveness. This goal is all the more feasible given that the country is going to benefit from substantial EU structural and cohesion funds over the programming period 2007-13. On top of the limited timeframe for the absorption of EU funds, the European soccer championship that Poland is going to co-host with Ukraine in 2012 imposes an additional time constraint on many investment projects. The country is heavily reliant on road transport but is lacking an efficient high-speed road network. It needs important renovation investments both in the rolling stock and infrastructure network of the railway sector. It also faces the challenges of revitalising maritime transport as well as extending and upgrading airport facilities to cope with the fastest growing air market in Europe. However, many obstacles remain and hinder the implementation of investment plans and thus need to be resolved rapidly. From the macroeconomic perspective, these are related to rising prices of scarce labour and intermediate inputs, while from the microeconomic standpoint the main difficulties lie in the area of the regulatory framework underlying the provision of physical infrastructure. Le defi d'une amelioration rapide des infrastructures de transport en Pologne Apres des annees de sous-investissement, la renovation des infrastructures de transport existantes et la construction d’infrastructures nouvelles representent une importante priorite d’action en vue d’accroitre la mobilite de la main-d’oeuvre et d’ameliorer la competitivite de la Pologne. Cet objectif est d’autant plus realisable que le pays va beneficier d’un volume substantiel de fonds structurels et de fonds de cohesion de l’UE au cours de la periode de programmation 2007-13. Outre que l’utilisation des fonds europeens est soumise a un calendrier restreint, le championnat d’Europe de football que la Pologne organisera conjointement avec l’Ukraine en 2012 impose une contrainte temporaire supplementaire sur de nombreux projets d’investissement. Lourdement tributaire du transport routier, la Pologne est depourvue d’un reseau autoroutier efficace. Dans le secteur ferroviaire, le materiel roulant comme le reseau d’infrastructure necessitent d’importants investissements de renovation. De surcroit, il faut revitaliser les transports maritimes mais aussi agrandir et moderniser les installations aeroportuaires afin de faire face a une croissance du marche des transports aeriens sans equivalent en Europe. Cependant, de nombreux obstacles subsistent et entravent la mise en oeuvre des plans d’investissement ; il faut donc y porter remede sans tarder. Sur un plan macroeconomique, ces freins resident dans la hausse des prix de ressources limitees en main-d’oeuvre et en intrants intermediaires, tandis que d’un point de vue microeconomique, les principales difficultes tiennent au cadre reglementaire qui sous-tend la fourniture d’infrastructures physiques