期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：In this paper we look at business cycles similarities between CEE countries and the euro area. Particularly, we uncover GDP-in
ation cycles by adopting a trend-cycle decomposition model which allows the trend to be either stochastic or deterministic i.e. of the non-linear type. Once cyclical components are derived, we test for ex post restrictions at both with-in (GDP-to-in
ation) and cross-country (CEECs vs. euro area) levels. Allowing for di erent degrees of cyclical similarity, we nd that a similar in
ation vs. GDP cycle is not rejected only for Poland, Lithuania, Romania and Estonia (with Latvia and the euro area being at the boundary). Looking at cross-country results, almost all countries feature a fair degree of similarity with respect to the euro area. Exceptions are Poland, Hungary, Latvia and Slovenia because of lack of a similar cycle either occurring in GDP or in
ation, yet not in both. Finally, observing how concurrence between each CEECs cycle and the euro area evolved over time, we nd that in
ation conditional correlation increased stemming from the EU accession of most CEECs and as a result of the commodity price shock preceding 2008. Further, in
ation and GDP conditional correlations receded during the course of 2009-2010, possibly resulting from more idiosyncratic adjustments in the aftermath of the crisis on the monetary/ scal side. Interestingly, Slovenia, Slovakia, Estonia and Bulgaria display a conditional correlation pattern in GDP and in
ation which roughly suggest a strong out-of-phase recovery starting from 2005.
关键词：In;ation-GDP gaps; CEECs; Euro-Area; Business Cycle; Convergence.
