Pub Date : 2021-01-02DOI: 10.1080/1406099X.2021.1950388
Marta Palczyńska
ABSTRACT This article investigates the extent to which personality traits and cognitive skills can be seen as potential determinants of overeducation, and can explain the overeducation wage penalty. Using a representative survey of the Polish working-age population with well-established measures of cognitive skills and personality traits, I find that accounting for personality and cognitive skills does not change the size and the statistical significance of overeducation wage penalty estimates. My results also demonstrate that personality is one of the contributors to the risk of being overeducated among workers aged 18–29, but not among workers aged 30–68. Among younger workers, agreeable individuals are more likely to be overeducated, while conscientious individuals are less likely to be overeducated. Moreover, lower numeracy skills are associated with higher probability of being overeducated.
{"title":"Overeducation and wages: the role of cognitive skills and personality traits","authors":"Marta Palczyńska","doi":"10.1080/1406099X.2021.1950388","DOIUrl":"https://doi.org/10.1080/1406099X.2021.1950388","url":null,"abstract":"ABSTRACT This article investigates the extent to which personality traits and cognitive skills can be seen as potential determinants of overeducation, and can explain the overeducation wage penalty. Using a representative survey of the Polish working-age population with well-established measures of cognitive skills and personality traits, I find that accounting for personality and cognitive skills does not change the size and the statistical significance of overeducation wage penalty estimates. My results also demonstrate that personality is one of the contributors to the risk of being overeducated among workers aged 18–29, but not among workers aged 30–68. Among younger workers, agreeable individuals are more likely to be overeducated, while conscientious individuals are less likely to be overeducated. Moreover, lower numeracy skills are associated with higher probability of being overeducated.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"21 1","pages":"85 - 111"},"PeriodicalIF":1.1,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2021.1950388","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48105726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-01-02DOI: 10.1080/1406099X.2021.1917844
Kamila Fialová, Martina Mysíková
ABSTRACT This article analyses the effects of minimum wage on employment in the Czech and Slovak Republics based on 2005–17 EU-SILC data. Our results contribute to the scant literature on minimum wage effects in the Central and Eastern European (CEE) region. While prior empirical findings concurred with the effects of minimum wage on labour market outcomes in CEE countries when the minimum wage is relatively high, there is ambiguity when the minimum wage is relatively low. In Slovakia we find that regular minimum wage hikes had insignificant effects on employment. Similarly, we find no negative employment consequences from irregular hikes in the comparatively low minimum wage (MW) of the Czech Republic. Moreover, the groups assumed to be most affected by MW hikes did not experience greater negative consequences following hikes when compared to the overall population of workers in either country.
{"title":"Do low minimum wages disserve workers? A case study of the Czech and Slovak Republics","authors":"Kamila Fialová, Martina Mysíková","doi":"10.1080/1406099X.2021.1917844","DOIUrl":"https://doi.org/10.1080/1406099X.2021.1917844","url":null,"abstract":"ABSTRACT This article analyses the effects of minimum wage on employment in the Czech and Slovak Republics based on 2005–17 EU-SILC data. Our results contribute to the scant literature on minimum wage effects in the Central and Eastern European (CEE) region. While prior empirical findings concurred with the effects of minimum wage on labour market outcomes in CEE countries when the minimum wage is relatively high, there is ambiguity when the minimum wage is relatively low. In Slovakia we find that regular minimum wage hikes had insignificant effects on employment. Similarly, we find no negative employment consequences from irregular hikes in the comparatively low minimum wage (MW) of the Czech Republic. Moreover, the groups assumed to be most affected by MW hikes did not experience greater negative consequences following hikes when compared to the overall population of workers in either country.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"21 1","pages":"43 - 59"},"PeriodicalIF":1.1,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2021.1917844","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46227105","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-02DOI: 10.1080/1406099x.2020.1846877
D. Živkov, Jelena Kovacevic, N. Papić-Blagojević
ABSTRACT This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian quantile regression framework. We find that inflation has significantly smaller negative effect on GDP growth than inflation uncertainty, which confirms the Friedman hypothesis. This means that inflation in the selected countries has an indirect impact on GDP growth via inflation uncertainty. We find that countries with smaller economy, such as Latvia and Estonia experience more adverse effect from inflation uncertainty in both upturn and downturn conditions, probably because they are vulnerable to external inflationary shocks. As for the countries with bigger economy, inflation uncertainty shocks diminish GDP growth only in conditions when output growth is very low or negative.
{"title":"Measuring the effects of inflation and inflation uncertainty on output growth in the central and eastern European countries","authors":"D. Živkov, Jelena Kovacevic, N. Papić-Blagojević","doi":"10.1080/1406099x.2020.1846877","DOIUrl":"https://doi.org/10.1080/1406099x.2020.1846877","url":null,"abstract":"ABSTRACT This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian quantile regression framework. We find that inflation has significantly smaller negative effect on GDP growth than inflation uncertainty, which confirms the Friedman hypothesis. This means that inflation in the selected countries has an indirect impact on GDP growth via inflation uncertainty. We find that countries with smaller economy, such as Latvia and Estonia experience more adverse effect from inflation uncertainty in both upturn and downturn conditions, probably because they are vulnerable to external inflationary shocks. As for the countries with bigger economy, inflation uncertainty shocks diminish GDP growth only in conditions when output growth is very low or negative.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"218 - 242"},"PeriodicalIF":1.1,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099x.2020.1846877","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41477353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-02DOI: 10.1080/1406099x.2020.1792085
Signe Rosenberg
ABSTRACT This paper investigates how different types of monetary policy have affected house prices in Finland, a small euro area economy that has experienced pronounced business cycles over time. The analyses are carried out using the Bayesian structural vector autoregressive approach. Monetary policy interest rate shocks and balance sheet shocks are identified using zero and sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the magnitudes of the peak impact are similar. The effect of a balance sheet shock on house prices is not notably different in Finland to what it is in the whole euro area.
{"title":"Conventional and unconventional monetary policies: effects on the Finnish housing market","authors":"Signe Rosenberg","doi":"10.1080/1406099x.2020.1792085","DOIUrl":"https://doi.org/10.1080/1406099x.2020.1792085","url":null,"abstract":"ABSTRACT This paper investigates how different types of monetary policy have affected house prices in Finland, a small euro area economy that has experienced pronounced business cycles over time. The analyses are carried out using the Bayesian structural vector autoregressive approach. Monetary policy interest rate shocks and balance sheet shocks are identified using zero and sign restrictions. The results reveal that both a policy interest rate shock and a balance sheet shock have a positive and temporary impact on house prices in Finland, with the response to a balance sheet shock being smaller and fading out faster. The peak of the effect of a policy rate shock on house prices in Finland arrives faster than in the whole euro area but the magnitudes of the peak impact are similar. The effect of a balance sheet shock on house prices is not notably different in Finland to what it is in the whole euro area.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"170 - 186"},"PeriodicalIF":1.1,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099x.2020.1792085","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48928075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-07-02DOI: 10.1080/1406099X.2020.1813964
Andrejs Zlobins
ABSTRACT This paper evaluates the macroeconomic effects of the European Central Bank's (ECB) Expanded asset purchase programme (APP) on Latvia and other euro area jurisdictions and investigates the cross-border transmission mechanism. To that end, we employ two different vector autoregressive (VAR) models, namely a bilateral structural VAR with block exogeneity (BSVAR-BE) and a multi-country mixed cross-section global VAR with stochastic volatility (MCS-BGVAR-SV). We find that the APP had a limited and weakly significant impact on Latvia's output while the effect on inflation has been robust due to depreciation of the euro. Regarding other jurisdictions, results suggest that the ECB's asset purchases had a larger impact on industrial production in the countries where it drove down long-term interest rates the most via portfolio rebalancing channel. Despite that, our evidence suggests that the APP was mainly transmitted to inflation via exchange rate depreciation rather than through aggregate demand-driven shifts in the Phillips curve.
{"title":"Country-level effects of the ECB's expanded asset purchase programme","authors":"Andrejs Zlobins","doi":"10.1080/1406099X.2020.1813964","DOIUrl":"https://doi.org/10.1080/1406099X.2020.1813964","url":null,"abstract":"ABSTRACT This paper evaluates the macroeconomic effects of the European Central Bank's (ECB) Expanded asset purchase programme (APP) on Latvia and other euro area jurisdictions and investigates the cross-border transmission mechanism. To that end, we employ two different vector autoregressive (VAR) models, namely a bilateral structural VAR with block exogeneity (BSVAR-BE) and a multi-country mixed cross-section global VAR with stochastic volatility (MCS-BGVAR-SV). We find that the APP had a limited and weakly significant impact on Latvia's output while the effect on inflation has been robust due to depreciation of the euro. Regarding other jurisdictions, results suggest that the ECB's asset purchases had a larger impact on industrial production in the countries where it drove down long-term interest rates the most via portfolio rebalancing channel. Despite that, our evidence suggests that the APP was mainly transmitted to inflation via exchange rate depreciation rather than through aggregate demand-driven shifts in the Phillips curve.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"187 - 217"},"PeriodicalIF":1.1,"publicationDate":"2020-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2020.1813964","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46556541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-26DOI: 10.1080/1406099X.2020.1780693
Nerijus Černiauskas, Andrius Čiginas
ABSTRACT Even though Lithuania’s household income inequality is among the highest in the European Union (EU), little empirical work has been carried out to explain such disparities. We investigate it using the EU Statistics on Income and Living Conditions sample microdata. We confirm that income inequality in Lithuania is high compared to the EU average. Our decompositions reveal that the number of employed household members in Lithuania’s households affects income inequality more as compared to the EU. It is related to a larger labour income, and self-employment income, in particular, contribution to inequality in Lithuania. Moreover, taxes, social contributions, and transfers reduce income inequality in Lithuania less than in the EU. Specifically, income taxes and social contributions are less progressive while transfers constitute a smaller share of income in Lithuania than in the EU. Income taxes and social contributions are effectively regressive for the self-employed in Lithuania.
{"title":"Measurement and decomposition of Lithuania's income inequality","authors":"Nerijus Černiauskas, Andrius Čiginas","doi":"10.1080/1406099X.2020.1780693","DOIUrl":"https://doi.org/10.1080/1406099X.2020.1780693","url":null,"abstract":"ABSTRACT Even though Lithuania’s household income inequality is among the highest in the European Union (EU), little empirical work has been carried out to explain such disparities. We investigate it using the EU Statistics on Income and Living Conditions sample microdata. We confirm that income inequality in Lithuania is high compared to the EU average. Our decompositions reveal that the number of employed household members in Lithuania’s households affects income inequality more as compared to the EU. It is related to a larger labour income, and self-employment income, in particular, contribution to inequality in Lithuania. Moreover, taxes, social contributions, and transfers reduce income inequality in Lithuania less than in the EU. Specifically, income taxes and social contributions are less progressive while transfers constitute a smaller share of income in Lithuania than in the EU. Income taxes and social contributions are effectively regressive for the self-employed in Lithuania.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"139 - 169"},"PeriodicalIF":1.1,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2020.1780693","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45680479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-06-26DOI: 10.1080/1406099x.2020.1780694
S. Hegerty
ABSTRACT Membership in a common currency area is thought to promote economic stability by facilitating macroeconomic convergence, but a country might give up important monetary policy tools that could help stabilize its economy following a shock. The effect of a common currency on macroeconomic volatility can therefore be ambiguous. This study examines five Central and Eastern European countries that joined the Eurozone since 2005; their differences, particularly with regard to the countries’ economic performance and pre-accession exchange-rate regimes, help drive a unique set of results. Structural breaks in the volatility of real output, consumption, and investment generally correspond to events other than Eurozone accession, and Vector Autoregressive methods show that global shocks have more of an impact on output volatility than do regional shocks or economic openness. Spillovers affect Latvia and Lithuania more than Estonia, Slovakia, or Slovenia, which suggests that a unified currency space might have difficulty managing idiosyncratic shocks.
{"title":"Macroeconomic volatility, monetary union, and external exposure: evidence from five Eurozone members","authors":"S. Hegerty","doi":"10.1080/1406099x.2020.1780694","DOIUrl":"https://doi.org/10.1080/1406099x.2020.1780694","url":null,"abstract":"ABSTRACT Membership in a common currency area is thought to promote economic stability by facilitating macroeconomic convergence, but a country might give up important monetary policy tools that could help stabilize its economy following a shock. The effect of a common currency on macroeconomic volatility can therefore be ambiguous. This study examines five Central and Eastern European countries that joined the Eurozone since 2005; their differences, particularly with regard to the countries’ economic performance and pre-accession exchange-rate regimes, help drive a unique set of results. Structural breaks in the volatility of real output, consumption, and investment generally correspond to events other than Eurozone accession, and Vector Autoregressive methods show that global shocks have more of an impact on output volatility than do regional shocks or economic openness. Spillovers affect Latvia and Lithuania more than Estonia, Slovakia, or Slovenia, which suggests that a unified currency space might have difficulty managing idiosyncratic shocks.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"117 - 138"},"PeriodicalIF":1.1,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099x.2020.1780694","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41484251","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-02DOI: 10.1080/1406099X.2020.1770946
Vladimir Mihajlović, Gordana Marjanović
ABSTRACT This study investigates asymmetry in the impact of domestic inflation drivers in the Baltic States, focusing on the output gap and unemployment gap. We aim to reveal how positive and negative changes in these economic activity indicators affect the inflation rate by employing a nonlinear autoregressive distributed lag approach (NARDL) and the Phillips curve. Empirical results demonstrate the long-run asymmetry as inflation in Estonia and Lithuania responds more significantly to positive changes in the output gap, whereas negative changes in the unemployment gap exhibit a stronger long-run impact on inflation in all three countries. These findings mainly suggest some extent of downward price rigidity in the Baltic economies, indicating a nonlinear Phillips curve and relatively large costs of disinflation policy directed to aggregate demand reduction. Further analysis reveals that increasing downward nominal wage flexibility could reduce these asymmetries in Estonia and, to a lesser extent, in Latvia and Lithuania.
{"title":"Asymmetries in effects of domestic inflation drivers in the Baltic States: a Phillips curve-based nonlinear ARDL approach","authors":"Vladimir Mihajlović, Gordana Marjanović","doi":"10.1080/1406099X.2020.1770946","DOIUrl":"https://doi.org/10.1080/1406099X.2020.1770946","url":null,"abstract":"ABSTRACT This study investigates asymmetry in the impact of domestic inflation drivers in the Baltic States, focusing on the output gap and unemployment gap. We aim to reveal how positive and negative changes in these economic activity indicators affect the inflation rate by employing a nonlinear autoregressive distributed lag approach (NARDL) and the Phillips curve. Empirical results demonstrate the long-run asymmetry as inflation in Estonia and Lithuania responds more significantly to positive changes in the output gap, whereas negative changes in the unemployment gap exhibit a stronger long-run impact on inflation in all three countries. These findings mainly suggest some extent of downward price rigidity in the Baltic economies, indicating a nonlinear Phillips curve and relatively large costs of disinflation policy directed to aggregate demand reduction. Further analysis reveals that increasing downward nominal wage flexibility could reduce these asymmetries in Estonia and, to a lesser extent, in Latvia and Lithuania.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"116 - 94"},"PeriodicalIF":1.1,"publicationDate":"2020-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2020.1770946","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44165826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-02DOI: 10.1080/1406099X.2020.1770945
Andrea Boltho
ABSTRACT A number of studies have concluded that, contrary to expectations, European monetary union has not reduced income disparities among the 12 Western European member countries. In fact, incomes per capita between Southern and Northern Eurozone members have diverged since the Eurozone was created, in contrast to earlier trends which had seen rapid convergence in living standards across Western Europe. The paper revisits this issue and investigates whether something similar occurred in the five Eastern European countries (Estonia, Latvia, Lithuania, Slovakia and Slovenia) which joined the Eurozone between 2007 and 2015. The conclusion is that, despite similarities with Southern Europe in some areas, overall developments in Eastern Europe were different and led to convergence rather than divergence. Important reasons for this were Eastern Europe's relatively high levels of institutional quality, a politically motivated determination to anchor these countries to the West and, possibly, the legacy of pre-war history.
{"title":"Southern and Eastern Europe in the Eurozone: convergence or divergence?","authors":"Andrea Boltho","doi":"10.1080/1406099X.2020.1770945","DOIUrl":"https://doi.org/10.1080/1406099X.2020.1770945","url":null,"abstract":"ABSTRACT A number of studies have concluded that, contrary to expectations, European monetary union has not reduced income disparities among the 12 Western European member countries. In fact, incomes per capita between Southern and Northern Eurozone members have diverged since the Eurozone was created, in contrast to earlier trends which had seen rapid convergence in living standards across Western Europe. The paper revisits this issue and investigates whether something similar occurred in the five Eastern European countries (Estonia, Latvia, Lithuania, Slovakia and Slovenia) which joined the Eurozone between 2007 and 2015. The conclusion is that, despite similarities with Southern Europe in some areas, overall developments in Eastern Europe were different and led to convergence rather than divergence. Important reasons for this were Eastern Europe's relatively high levels of institutional quality, a politically motivated determination to anchor these countries to the West and, possibly, the legacy of pre-war history.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"74 - 93"},"PeriodicalIF":1.1,"publicationDate":"2020-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2020.1770945","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45503961","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2020-01-02DOI: 10.1080/1406099X.2020.1746114
Emilia Gosińska, Katarzyna Leszkiewicz-Kędzior, A. Welfe
ABSTRACT The purpose of the paper is to test the hypothesis about asymmetric price transmission between the fuel markets. The distribution chain is considered at three levels: the European wholesale market, the domestic wholesale market, and the domestic retail market. It is shown that between the European and domestic wholesale markets fuel prices adjust symmetrically and asymmetrically between the domestic wholesale market and the retail market. This finding confirms that the most probable cause of asymmetric price adjustments (especially in new EU member states) is the behaviour of petrol stations and not of oil companies. The empirical analysis is conducted using an appropriately modified Hansen-Seo method. The procedure, which has until recently been used to estimate bivariate threshold models, prevents the presence of the constant in the cointegrating vector entailing the risk of severe distortion of the estimation results. Moreover, the interpretation of a dummy variable present in the CVAR equation as a result of a data generating process distortion is limited by its presence in the cointegration space.
{"title":"Who is responsible for asymmetric fuel price adjustments? An application of the threshold cointegrated VAR model","authors":"Emilia Gosińska, Katarzyna Leszkiewicz-Kędzior, A. Welfe","doi":"10.1080/1406099X.2020.1746114","DOIUrl":"https://doi.org/10.1080/1406099X.2020.1746114","url":null,"abstract":"ABSTRACT The purpose of the paper is to test the hypothesis about asymmetric price transmission between the fuel markets. The distribution chain is considered at three levels: the European wholesale market, the domestic wholesale market, and the domestic retail market. It is shown that between the European and domestic wholesale markets fuel prices adjust symmetrically and asymmetrically between the domestic wholesale market and the retail market. This finding confirms that the most probable cause of asymmetric price adjustments (especially in new EU member states) is the behaviour of petrol stations and not of oil companies. The empirical analysis is conducted using an appropriately modified Hansen-Seo method. The procedure, which has until recently been used to estimate bivariate threshold models, prevents the presence of the constant in the cointegrating vector entailing the risk of severe distortion of the estimation results. Moreover, the interpretation of a dummy variable present in the CVAR equation as a result of a data generating process distortion is limited by its presence in the cointegration space.","PeriodicalId":43756,"journal":{"name":"Baltic Journal of Economics","volume":"20 1","pages":"59 - 73"},"PeriodicalIF":1.1,"publicationDate":"2020-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/1406099X.2020.1746114","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46083636","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：