Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary

The paper estimates the immediate impact of Hungarian monetary policy on three classes of asset prices: the exchange rate of the forint vis-à-vis the euro, spot and forward government bond yields and the index of the Budapest Stock Exchange. The endogeneity problem is treated with the method of identification through heteroskedasticity as described by Rigobon and Sack (2004). The results suggest a significant impact on the exchange rate in one day i.e. an increase in the policy rate leads to an appreciation of the domestic currency, which is in line with the classic intuition. The effect increases markedly when the estimation is carried out with a two-day window suggesting the inefficiency of markets in incorporating monetary policy decisions in asset prices in a short period of time. Monetary policy affects spot yields positively, but the effect gradually dies out as the horizon gets longer. This can be explained with the impact on forward yields, as the results suggest a positive impact on short-term and a negative impact on long-term forward yields meaning that a surprise change in the policy rate leads to a rotation of the forward curve. The method does not provide interpretable and significant results for the stock exchange index.Monetary transmission mechanism, Asset prices, Exchange rate, Yield curve, Stock market, Identification, Heteroskedasticity.

Analysing currency risk premia in the Czech Republic, Hungary, Poland and Slovakia

The paper estimates currency risk premia for the Czech Republic, Hungary, Poland and Slovakia. Three different approaches are applied: a constant premium approach based on rational expectations, while time-varying premia are estimated with a method using financial market analysts’ surveys and also with a Kalman filter technique. A novelty in this paper is a crosscheck based on the three different approaches applied and also making use of implied and historical volatilities. The results highlight the importance of such a crosscheck: in the case of the Czech and the Slovak koruna and the Polish zloty this exercise reveals severe problems with the results, which otherwise would not have been discovered. On the other hand, the estimation methods produce convincing results for the Hungarian forint. The estimated Hungarian premium series reflect the major events that intuitively may have shaped currency risk in the country. A possible reason for these findings is a high signal-to-noise ratio in the case of Hungary where the risk premium has been large and exhibited substantial shifts through time. Finally, the strong comovement of the premium series obtained with the Kalman-filter and the survey data for the Hungarian forint also indicates that the survey expectations are largely in line with both the riskpremium- extended UIP and the rational expectations hypothesis, which is theoretically important as the UIP relates exchange rate expectations to the interest rate differential.risk premium, exchange rate, Kalman filter, survey data

The theory and practice of interest rate smoothing

The interest rate policy of the Magyar Nemzeti Bank typically consists of taking several smaller steps in one direction. Other central banks follow similar practices. Their interest rate policy actions are characterised by gradual changes: in other words, they avoid sudden, major changes in interest rates and are wary of reversing interest rate cycles too frequently. This study will present the theoretical background of the practice of such interest rate smoothing, the motivations of central banks as revealed by their communication, and some important considerations for Hungarian monetary policy.interest rate smoothing, base rate, monetary policy.

Magyar alkalmazkodás az Európai Unió monetáris együttműködéséhez - tanulságok (Hungarian adaption to the monetary cooperation)

A cikk röviden összefoglalja az optimális valutaövezetek elméletének fejlődési állomásait, miközben felvet néhány kérdést a 2008-ban kezdődött válsággal kapcsolatban. Ezt követően áttekinti az elmélet és a válság által felvetett problémákra a gazdasági és monetáris unió által adott válaszokat. Végül az elmélet, az európai szabályozás aktuális állapota és a hazai tapasztalatok, lehetőségek tükrében megvizsgálja, hogy a jelenlegi helyzetben Magyarországnak milyen érdekei és ellenérdekei fűződhetnek az euró bevezetéséhez. Az írás kísérletet tesz arra, hogy kijelölje a hazai gazdaságpolitika kívánatos irányvonalát. _______ The article briefly summarizes the developments of the optimum currency area (OCA) theory, while states some questions regarding the crises starting in 2008. Secondly, it reviews the solutions given by the economic and monetary union to the problems raised by the OCA theory and the crisis. Thirdly, it evaluates the pros and cons for Hungary to introduce the euro as its own currency in the light of the OCA theory, the state of the European legislation and the Hungarian track record and possibilities. Finally, it shows the desired direction for the official Hungarian economic and financial policy

Energy Saving Obligations and White Certificates : Ideas and Considerations for the Transport Sector

Peer reviewedPreprin

Tradable Certificates for Energy Savings (White Certificates) - Theory and Practice

The report has the following structure. Section 1 places the energy efficiency and energy savings discussion in the context of relevant European policies. Section 2 reviews European experience with MBIs in the energy sector and provides a description, analysis and comparison of the existing and planned TCES schemes. Section 3 presents a qualitative comparison of the TCES scheme, also known as white certificate scheme or Energy Efficiency Titles, with energy taxation and mandatory demand-side management (DSM) programs, using a set of four criteria. Section 4 analyses the possibilities for integrating existing MBIs in the energy sector to achieve better environmental and economic results. The advantages and dangers of integrating green and white certificates in emission trading and possible ways to establish such an integration are then examined.JRC.H.8-Renewable energie

Az USA-EU kereskedelmi tárgyalások várható hatása a magyar növekedésre

A 2013 eleje óta formálódó Transzatlanti Kereskedelmi és Beruházási Partnerségi tárgyalások védelmi Egyezmény (TTIP) kapcsán az a közgazdasági sejtés, hogy az egyezmény növekedési hatásokkal jár a résztvevő felek számára. Tanulmányunk A cikk Magyarország vonatkozásában becsli a TTIP addicionális növekedési, foglalkoztatási és beruházási hatásait. A szerzők számításaink a számítható általános egyensúly (CGE) alapú modellek árrugalmassági, illetve kereskedelemrugalmassági megközelítésére épül. Lehetőségeinkhez mérten ágazati bontásban vizsgáljuk a hatásokat. Eredményeinket összevetjük más kutatók becsléseive