Asset prices and financial imbalances in CEE countries: Macroeconomic risks and monetary strategy

Arbeitspapier

Modern central banks have adopted a 'risk management' approach in assessing and presenting risks to macroeconomic stability. This paper seeks to contribute to the improvement of central banks' current strategies for Central and Eastern European countries, first by assessing the potential size of macroeconomic risks, and secondly by empirically relating these risks to certain selected financial variables. Our results suggest that risks to GDP and the Price Level are significantly higher than commonly supposed based on a normal distribution of their cyclical components. However, relating these risks to the selected financial variables generated mixed results and is rarely significant in economic terms. We conclude that central banks currently risk underestimating the probability of large deviations in GDP and Price Level from their trends. A combination of financial variables and the inclusion of international financial variables could result in more significant results than the ones used separately in this study, when looking for useful indicators of such events.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MNB Working Papers ; No. 2011/8

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Monetary Policy ; Central Banks and Their Policies
• Thema: central bank policy ; financial imbalances ; GDP-at-risk ; CPI-at-risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Szalai, Zoltán
• Ereignis: Veröffentlichung
• (wer): Magyar Nemzeti Bank
• (wo): Budapest
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/83591
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ