Using a sample of 27 currencies, we empirically test the role of a large set of determinants pote... more Using a sample of 27 currencies, we empirically test the role of a large set of determinants potentially underlying currencies' share in the international currency system; providing, to the best of our knowledge, the most comprehensive study of this kind so far. We propose a new global indicator that quantifies the international use of currencies on the basis of three dimensionsmedium of exchange, unit of account, and store of value. From a range of indicators including openness, financial development, and institutional development indicators, we uncover several variables that are significant in explaining the international status of currencies, hence, contributing to understanding the role of the determinants shaping the international currency system. We also investigate the long-run equilibrium values for currency shares, allowing us to score currencies on the basis of the potential stemming from the determinants. We contribute to the debate on international currencies' prospects, not only by looking at much discussed currencies such as the US dollar, the euro and the Chinese renminbi, but also by uncovering potential of emerging currencies. This knowledge is of the utmost importance for the debate on the reform of the international monetary systemfrom the point of view of academics, policymakers, and market practitioners.
In this paper we discuss the topological properties of the European banking network and its evolu... more In this paper we discuss the topological properties of the European banking network and its evolution over time based on the BIS consolidated banking statistics data exploiting information from complex network analysis. Our conclusions are discussed in light of the soon-to-be-launched Single Supervisory Mechanism that takes into account, among other things, the significance of crossborder activity as a precondition for specifying the systemically important European credit institutions. According to our results, the banking network of the EU13 economic space can be characterized as highly asymmetric with a tendency to create clusters based on geographic distance and cultural and social similarities. Additionally, the highly exposed countries are usually dependent on a small number of major creditors while creditor countries tend to spread their power over dependent countries more equally. We advocate that the presence of heterogeneity and asymmetry in the network and a decrease in the level of foreign banking across Europe could be mitigated by the introduction of SSM, and from this perspective it should be viewed as a positive step towards greater financial stability.
ABSTRACT This article empirically explores determinants of net errors and omissions (NEO) of Slov... more ABSTRACT This article empirically explores determinants of net errors and omissions (NEO) of Slovakia during the 1997–2014 period, with emphasis on the 2008–2014 sub-period when a distinct downturn in the NEO time series is observed. Given the statistically significant link between the evolution of foreign direct investments and NEO, we cannot rule out possible prevalence of tax optimization as a part of capital flight phenomenon in developed countries. Our findings also suggest that services sector plays a pivotal role in determining the adverse NEO development in the post-2008 period. However, given the absence of detailed bidirectional data for trade with services, role of misinvoicing practices in the Slovak balance of payments statistics might not be further investigated. Our results further strengthen the call for a deeper understanding of forces driving the NEO evolution in other developed and developing countries suffering from capital flight phenomenon.
We examine the determinants of financial development using our global sample and employing a rich... more We examine the determinants of financial development using our global sample and employing a rich set of measures of financial development that assess the degree of depth, access, stability and efficiency of financial intermediaries. We use Bayesian model averaging to test competing theories within this unifying framework. Examining nearly 40 potential determinants of financial development, we find that the rule of law and the level of economic development are the most important. Wealth inequality is irrelevant for banking sector development but positively associated with stock market development. Finally, our results suggest that financial market regulations matter for stock market efficiency and financial stability.
The WORKING PAPER SERIES is intended to convey preliminary, partial results of ongoing research a... more The WORKING PAPER SERIES is intended to convey preliminary, partial results of ongoing research achieved by fellows or research groups of the Institute of Economic Research which can be prepared for later publications.
Trade misinvoicing has been traditionally used as one of the measures of illicit capital flows. T... more Trade misinvoicing has been traditionally used as one of the measures of illicit capital flows. The issue of capital flight has recently come to the centre of public attention due to increasing role of capital flows not only from developing but also from developed economies to countries with favourable tax environment. Yet, determinants of trade misinvoicing remain underinvestigated in the relevant literature. On top of that, we argue that traditional measures of capital flight based on trade misinvoicing tend to be biased due to the insufficient treatment of transportation and insurance costs. In this paper we construct large data set containing bilateral panel data on trade misinvoicing covering 194 countries over the period 2001-2015. This allows us to identify extent of misinvoicing practices at individual country level while acknowledging differences between incentives to misinvoice on exporter's and importer's part. We decompose the extent of misinvoicing into contributions of selected determinants, such as transaction costs, measures of economic and financial development, trade openness and tax policy variables.
This research aims to evaluate the efficiency of the currently applied MIP Scoreboard’s indicator... more This research aims to evaluate the efficiency of the currently applied MIP Scoreboard’s indicators. The question we want to answer is that: If this procedure had been applied before the crisis, would it have been able to effectively and on time identify potential macroeconomic imbalances in the EU countries? In order to answer this question, we examine the behavior of the MIP Scoreboard’s indicators in terms of the business cycle. The analysis relies mostly on binary response models and on signaling approach. The data used cover the time period from 2004 till 2014. The results of this study aim to improve the MIP procedure and identify useful amendments to the set of indicators used in the crisis-identification procedure. This would result in better and more target-oriented policies and help avoid adverse macroeconomic development across European countries.
Edícia WORKING PAPERS prináša priebežné, čiastkové výsledky výskumných prác pracovníkov alebo tím... more Edícia WORKING PAPERS prináša priebežné, čiastkové výsledky výskumných prác pracovníkov alebo tímov EÚ SAV riešených v rámci výskumných projektov, ktoré môžu byť obsahom aj ďalších publikácií.
The third wave of ECB’s quantitative easing aims to, among others, support impaired credit provis... more The third wave of ECB’s quantitative easing aims to, among others, support impaired credit provisioning by banking system to real economy. This paper we examine relationship between credit provisioning and economic output in EA member states with ARDL bound test estimated by OLS. Contrary to most of the recent studies we test significance of causal relationship running from credit to domestic output on individual country levels and not for the entire euro area. Our results suggest that in most of the member states the economic growth precedes credit provisioning, a fact that might hinder efforts to support economic recovery through banking channel. In the post-2008 period only four countries show signs of positive impact of increase in bank credit on economic output, namely Austria, France, Germany and Malta.
International Journal of Monetary Economics and Finance, 2018
This paper constructs structural vector autoregression (SVAR) model for individual EA member stat... more This paper constructs structural vector autoregression (SVAR) model for individual EA member states that is able to capture effects of European Central Bank's (ECB) unconventional measures. We separately model innovation to ECB key interest rate representing standard interest rate policy as exogenous variable and effects of balance sheet policies through change in claims against domestic sector of individual central banks as endogenous variable. By incorporating banking sector, we specifically examine effects of monetary policy on credit provisioning in individual countries. This model is applied on Slovenian economy after the euro adoption in 2007. Our results suggest that while standard interest rate policy has an effect on long-term interest rates for government bonds and interest rates on loans to households, the balance sheet policy brings about an additional impulse affecting bank interest rates but fails to affect bank spreads, government bonds or directly the credit provisioning.
This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.
This article applies set of 24 baseline and auxiliary indicators included into the Macroeconomic ... more This article applies set of 24 baseline and auxiliary indicators included into the Macroeconomic Imbalance Procedure framework on the conditions of 17 CEE countries to assess their predictive power given the policy pre-determined and optimal thresholds for the period 1991-2014. Our results suggest that the optimal official thresholds might either be excessively too accommodative (public and private, total or external debt levels), overly conservative (current account balance, export market share and nominal unit labour costs), or with less informative value (labour market characteristics) for set of transition economies. Indicators with higher predictive power belong predominantly to the group of external imbalances indicators.
Equilibrium. Quarterly Journal of Economics and Economic Policy, Dec 31, 2017
Research background: Transfer of newly created money through unconventional monetary measures fol... more Research background: Transfer of newly created money through unconventional monetary measures follows the official European Central Bank distribution key. Yet, it does not take into account the ability of individual countries to drive growth process in other economies. Money spent to boost domestic credit provisioning in growth pole-like economies is more likely to spill over to other adjoined economies and help them to recover, even in the presence of depressed domestic demand and/or overleveraged domestic banking sector. Purpose of the article: This paper reports growth pole scores for 19 euro area countries, and compares it to the official distribution key used to transmit newly created source of funding. Methods: We modify the procedure developed in World Bank (2011) for growth pole computation in order to account for strength of linkages connecting member states. Findings & Value added: Our results suggest that the official distribution key might not be completely optimal once looking at the growth pole scores. Countries small in economic size (Baltic states, Slovakia and Slovenia) would benefit from a more differentiated distribution, as they strongly outperform their benchmark set by the official distribution key. On the Equilibrium. Quarterly Journal of Economics and Economic Policy, 12(4), 633-653 634 other hand, big euro area economies do not achieve the levels used in official distribution key, taking into account their growth pole potential for other euro area economies.
Using a sample of 27 currencies, we empirically test the role of a large set of determinants pote... more Using a sample of 27 currencies, we empirically test the role of a large set of determinants potentially underlying currencies' share in the international currency system; providing, to the best of our knowledge, the most comprehensive study of this kind so far. We propose a new global indicator that quantifies the international use of currencies on the basis of three dimensionsmedium of exchange, unit of account, and store of value. From a range of indicators including openness, financial development, and institutional development indicators, we uncover several variables that are significant in explaining the international status of currencies, hence, contributing to understanding the role of the determinants shaping the international currency system. We also investigate the long-run equilibrium values for currency shares, allowing us to score currencies on the basis of the potential stemming from the determinants. We contribute to the debate on international currencies' prospects, not only by looking at much discussed currencies such as the US dollar, the euro and the Chinese renminbi, but also by uncovering potential of emerging currencies. This knowledge is of the utmost importance for the debate on the reform of the international monetary systemfrom the point of view of academics, policymakers, and market practitioners.
In this paper we discuss the topological properties of the European banking network and its evolu... more In this paper we discuss the topological properties of the European banking network and its evolution over time based on the BIS consolidated banking statistics data exploiting information from complex network analysis. Our conclusions are discussed in light of the soon-to-be-launched Single Supervisory Mechanism that takes into account, among other things, the significance of crossborder activity as a precondition for specifying the systemically important European credit institutions. According to our results, the banking network of the EU13 economic space can be characterized as highly asymmetric with a tendency to create clusters based on geographic distance and cultural and social similarities. Additionally, the highly exposed countries are usually dependent on a small number of major creditors while creditor countries tend to spread their power over dependent countries more equally. We advocate that the presence of heterogeneity and asymmetry in the network and a decrease in the level of foreign banking across Europe could be mitigated by the introduction of SSM, and from this perspective it should be viewed as a positive step towards greater financial stability.
ABSTRACT This article empirically explores determinants of net errors and omissions (NEO) of Slov... more ABSTRACT This article empirically explores determinants of net errors and omissions (NEO) of Slovakia during the 1997–2014 period, with emphasis on the 2008–2014 sub-period when a distinct downturn in the NEO time series is observed. Given the statistically significant link between the evolution of foreign direct investments and NEO, we cannot rule out possible prevalence of tax optimization as a part of capital flight phenomenon in developed countries. Our findings also suggest that services sector plays a pivotal role in determining the adverse NEO development in the post-2008 period. However, given the absence of detailed bidirectional data for trade with services, role of misinvoicing practices in the Slovak balance of payments statistics might not be further investigated. Our results further strengthen the call for a deeper understanding of forces driving the NEO evolution in other developed and developing countries suffering from capital flight phenomenon.
We examine the determinants of financial development using our global sample and employing a rich... more We examine the determinants of financial development using our global sample and employing a rich set of measures of financial development that assess the degree of depth, access, stability and efficiency of financial intermediaries. We use Bayesian model averaging to test competing theories within this unifying framework. Examining nearly 40 potential determinants of financial development, we find that the rule of law and the level of economic development are the most important. Wealth inequality is irrelevant for banking sector development but positively associated with stock market development. Finally, our results suggest that financial market regulations matter for stock market efficiency and financial stability.
The WORKING PAPER SERIES is intended to convey preliminary, partial results of ongoing research a... more The WORKING PAPER SERIES is intended to convey preliminary, partial results of ongoing research achieved by fellows or research groups of the Institute of Economic Research which can be prepared for later publications.
Trade misinvoicing has been traditionally used as one of the measures of illicit capital flows. T... more Trade misinvoicing has been traditionally used as one of the measures of illicit capital flows. The issue of capital flight has recently come to the centre of public attention due to increasing role of capital flows not only from developing but also from developed economies to countries with favourable tax environment. Yet, determinants of trade misinvoicing remain underinvestigated in the relevant literature. On top of that, we argue that traditional measures of capital flight based on trade misinvoicing tend to be biased due to the insufficient treatment of transportation and insurance costs. In this paper we construct large data set containing bilateral panel data on trade misinvoicing covering 194 countries over the period 2001-2015. This allows us to identify extent of misinvoicing practices at individual country level while acknowledging differences between incentives to misinvoice on exporter's and importer's part. We decompose the extent of misinvoicing into contributions of selected determinants, such as transaction costs, measures of economic and financial development, trade openness and tax policy variables.
This research aims to evaluate the efficiency of the currently applied MIP Scoreboard’s indicator... more This research aims to evaluate the efficiency of the currently applied MIP Scoreboard’s indicators. The question we want to answer is that: If this procedure had been applied before the crisis, would it have been able to effectively and on time identify potential macroeconomic imbalances in the EU countries? In order to answer this question, we examine the behavior of the MIP Scoreboard’s indicators in terms of the business cycle. The analysis relies mostly on binary response models and on signaling approach. The data used cover the time period from 2004 till 2014. The results of this study aim to improve the MIP procedure and identify useful amendments to the set of indicators used in the crisis-identification procedure. This would result in better and more target-oriented policies and help avoid adverse macroeconomic development across European countries.
Edícia WORKING PAPERS prináša priebežné, čiastkové výsledky výskumných prác pracovníkov alebo tím... more Edícia WORKING PAPERS prináša priebežné, čiastkové výsledky výskumných prác pracovníkov alebo tímov EÚ SAV riešených v rámci výskumných projektov, ktoré môžu byť obsahom aj ďalších publikácií.
The third wave of ECB’s quantitative easing aims to, among others, support impaired credit provis... more The third wave of ECB’s quantitative easing aims to, among others, support impaired credit provisioning by banking system to real economy. This paper we examine relationship between credit provisioning and economic output in EA member states with ARDL bound test estimated by OLS. Contrary to most of the recent studies we test significance of causal relationship running from credit to domestic output on individual country levels and not for the entire euro area. Our results suggest that in most of the member states the economic growth precedes credit provisioning, a fact that might hinder efforts to support economic recovery through banking channel. In the post-2008 period only four countries show signs of positive impact of increase in bank credit on economic output, namely Austria, France, Germany and Malta.
International Journal of Monetary Economics and Finance, 2018
This paper constructs structural vector autoregression (SVAR) model for individual EA member stat... more This paper constructs structural vector autoregression (SVAR) model for individual EA member states that is able to capture effects of European Central Bank's (ECB) unconventional measures. We separately model innovation to ECB key interest rate representing standard interest rate policy as exogenous variable and effects of balance sheet policies through change in claims against domestic sector of individual central banks as endogenous variable. By incorporating banking sector, we specifically examine effects of monetary policy on credit provisioning in individual countries. This model is applied on Slovenian economy after the euro adoption in 2007. Our results suggest that while standard interest rate policy has an effect on long-term interest rates for government bonds and interest rates on loans to households, the balance sheet policy brings about an additional impulse affecting bank interest rates but fails to affect bank spreads, government bonds or directly the credit provisioning.
This is a PDF file of an article that has undergone enhancements after acceptance, such as the ad... more This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.
This article applies set of 24 baseline and auxiliary indicators included into the Macroeconomic ... more This article applies set of 24 baseline and auxiliary indicators included into the Macroeconomic Imbalance Procedure framework on the conditions of 17 CEE countries to assess their predictive power given the policy pre-determined and optimal thresholds for the period 1991-2014. Our results suggest that the optimal official thresholds might either be excessively too accommodative (public and private, total or external debt levels), overly conservative (current account balance, export market share and nominal unit labour costs), or with less informative value (labour market characteristics) for set of transition economies. Indicators with higher predictive power belong predominantly to the group of external imbalances indicators.
Equilibrium. Quarterly Journal of Economics and Economic Policy, Dec 31, 2017
Research background: Transfer of newly created money through unconventional monetary measures fol... more Research background: Transfer of newly created money through unconventional monetary measures follows the official European Central Bank distribution key. Yet, it does not take into account the ability of individual countries to drive growth process in other economies. Money spent to boost domestic credit provisioning in growth pole-like economies is more likely to spill over to other adjoined economies and help them to recover, even in the presence of depressed domestic demand and/or overleveraged domestic banking sector. Purpose of the article: This paper reports growth pole scores for 19 euro area countries, and compares it to the official distribution key used to transmit newly created source of funding. Methods: We modify the procedure developed in World Bank (2011) for growth pole computation in order to account for strength of linkages connecting member states. Findings & Value added: Our results suggest that the official distribution key might not be completely optimal once looking at the growth pole scores. Countries small in economic size (Baltic states, Slovakia and Slovenia) would benefit from a more differentiated distribution, as they strongly outperform their benchmark set by the official distribution key. On the Equilibrium. Quarterly Journal of Economics and Economic Policy, 12(4), 633-653 634 other hand, big euro area economies do not achieve the levels used in official distribution key, taking into account their growth pole potential for other euro area economies.
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Papers by Maria Siranova