Barnett, Alina. (2007) The effects of EU shocks on the newly acceded countries. International Journal of Finance & Economics, Vol.12 (No.4). pp. 389-404. ISSN 1099-1158

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Abstract

This paper analyses the response of seven of the newly acceded countries (NACs) to EU supply and monetary shocks. A typical NAC perceives an EU technology disturbance as a negative supply shock and an EU monetary expansion as a negative demand shock. When we split the seven countries into two groups, results for group 1 which includes the Czech Republic, Hungary, Poland and Slovakia suggest that an EU supply shock feeds through as a demand shock, increasing both prices and output. This suggests trade acts as a channel of EU shock propagation. Monetary disturbances explain 2% and 3% of the output fluctuation of group one and two and 10% and 42% of interest rate variations, respectively. EU shocks are identified as given by Canova and De Nicolo (2002) using sign restrictions of the cross-correlation function of the variables' responses to orthogonal disturbances. These restrictions are derived from a DSGE model.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	International Journal of Finance & Economics
Publisher:	John Wiley & Sons, Ltd.
ISSN:	1099-1158
Date:	October 2007
Volume:	Vol.12
Number:	No.4
Number of Pages:	16
Page Range:	pp. 389-404
Identification Number:	10.1002/ijfe.335
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/31287

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