Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2013 | nr 40 | 72--95
Tytuł artykułu

Factors of the European Economies' Vulnerability to External Shocks - an Empirical Analysis. The Example of 2008-2009 Crisis Costs

Warianty tytułu
Języki publikacji
The article analyses the factors determining the vulnerability of the European countries to external shocks taking the example of the global 2008-2009 economic slowdown (also called the subprime crisis) and its impact on economies in Europe. The particular attention is attached to factors related to the fundamentals of the economy, i.e. the GDP growth, fiscal and monetary stability and external stability. Attempting to level off the gap existing in the Polish literature in the empirical research on that problem, the hereby article also refers to wider problems of the macroeconomic factors enhancing economies' capabilities to meet the challenges of global crises and strengthening their competitiveness aft erwards. The special attention in the paper was attached to the role of financial and trade openness. In the empirical study we have assessed the macroeconomic "costs" of the crisis in the European economies and then we have run the regression model process to estimate the factors determining the exposure to those costs in cross-country perspective. The above mentioned macroeconomic costs are the relative falls ("gaps") in GDP, i.e. the difference between the hypothetical GDP (resulting from the average mid-term trend) in 2008-2009 and actual GDP incurred in those two "crisis years". In the regression model (crisis costs as the explained variable) we used the chosen data and indicators denoting the potential factors of the European countries' exposure to 2007-2009 crisis shock as explanatory variables. As the calculation results show, the variables that contributed to higher 2008-2009 crisis effects in the European countries were among others: high unemployment and high real interest rates, considerable government sector debt before the crisis, high economic development level, high share of nonperforming credit portfolio and high share of equity in the banking sector's assets (signifying a relatively poorly developed banking system), as well as good quality of law. Greater costs of the 2007-2009 crisis were (on average) incurred by countries experiencing high inflation, rapid GDP growth (as compared to the other sample countries), and considerable share of investment in GDP before crisis, and the economies which were characterized by above-average industry concentration and high development of stock exchange and bank market. The study leads to a general conclusion that in case of the European countries, the recession only highlighted and enhanced many problems and unfavorable tendencies which had existed before.(original abstract)
Opis fizyczny
  • Szkoła Główna Handlowa w Warszawie
  • Szkoła Główna Handlowa w Warszawie
  • Akaike H. (1974), A New Look at the Statistical Model Identification, I.E.E.E. Transactions on Automatic Control, No. 19, pp. 716-723.
  • Arteta C., Eichengreen B., Wyplosz C. (2001), On the Growth Effects of Capital Account Liberalization, manuscript, University of California, Berkeley CA.
  • Aziz J., Caramazza F., Salgado R. (2000), Currency Crises: In Search of Common Elements, IMF Working Paper 00/67.
  • Baccheta M., Jansen M., Lennon C., Piermartini R. (2009), Exposure to external shocks and the geographical diversification of exports, in: Newfarmer R., Shaw W., Walkenhorst P., Breaking into New Markets: Emerging Lessons for Export Diversification, Washington DC, World Bank.
  • Barro R.J. (2001), Economic Growth in East Asia Before and After the Financial Crisis, NBER Working Paper 8330.
  • Boyd J.H., Kwak S., Smith B. (2005), The Real Output Losses Associated with Modern Banking Crises, Journal of Money, Credit, and Banking, No. 37, pp. 977-999.
  • Broda C. (2004), Terms of trade and exchange rate regimes in developing countries, Journal of International Economics, No. 63[1], pp. 31-58.
  • Brodzicki T. (2006), Otwartość a wzrost gospodarczy - wyniki dotychczasowych badań i wnioski na przyszłość, Analizy i Opracowania KEIE, nr 2/2006, Uniwersytet Gdański, Gdańsk.
  • Calderon C., Loayza N., Schmidt-Hebbel K. (2005), Does Openness Imply Greater Exposure?, The World Bank, September.
  • Calvo G.A. (1999), Contangion in emerging markets: When Wall Street is a carrier, University of Maryland.
  • Calvo G.A., Mendoza E.G. (2000), Rational Contangion and the globalization of securities markets, Journal of Economics, No. 51.
  • Dell'Ariccia G., Detragiache E., Rajan R. (2005), The real effect of banking crises. IMF Working Paper 05/63.
  • Dollar D. (1992), Outward-Oriented Developing Economies Really Do Grow More Rapidly: Evidence from 95 LDCs, 1976-85, Economic Development and Cultural Change.
  • Domańska A. (2010), Otwartość gospodarki jako uwarunkowanie poziomu i wahań wzrostu gospodarczego. Kontrowersje wokół teorii i wyników badań empirycznych, badania własne KES SGH, Warszawa.
  • Domańska A. (2011a), Rozprzestrzenianie się kryzysów gospodarczych: mechanizmy i uwarunkowania - przegląd koncepcji teoretycznych, Prace i Materiały ISM 2011 no 40, Instytut Studiów Międzynarodowych, SGH, Warszawa, pp. 9-25.
  • Domańska A. (2011b), Uwarunkowania podatności gospodarek na szoki w globalnej wymianie handlowej, pp. 18-20. The study done within statutory research of Institute for International Studies in Collegium of Socio-Economics, Warsaw School of Economics, 2011.
  • Domańska A, Serwa D. (2013), Czynniki wrażliwości gospodarek krajów Europy na szoki zewnętrzne na przykładzie skutków kryzysu 2008-2009 analiza empiryczna, Polityki Europejskie, Finanse i Marketing, Zeszyty Naukowe SGGW w Warszawie, No. 9 (58).
  • Easterly W., Rebelo S. (1993), Fiscal Policy and Economic Growth: An Empirical Investigation, NBER Working Paper, No. 4499.
  • Edison H.J., Levine R., Ricci L., Slok T. (2002), International Financial Integration and Economic Growth, Journal of International Money and Finance, No. 21.
  • Edwards S. (1998), Openness, productivity and growth: What do we really know? The Economic Journal, Vol. 108.
  • Frankel J., Rose A.K. (1996), Currency Crashes in Emerging Markets: An Empirical Treatment, Journal of International Economics, No. 41, pp. 351-366.
  • Flood R., Garber P. (1984), Collapsing Exchange Rate Regimes: Some Linear Examples, Journal of International Economics, No. 17, pp. 1-13.
  • Frydl, E.J. (1999), The length and cost of banking crises, IMF Working Paper 99/30.
  • di Giovanni J., Levchenko A.A. (2008), Trade Openness and Volatility, IMF Working Paper 2008, WP/08/146.
  • Goldberg L. (1994), Predicting Exchange Rate Crises: Mexico Revisited, Journal of International Economics, No. 36, pp. 413-430.
  • Hoggarth G., Reis R., Saporta V. (2002), Costs of banking system instability: some empirical evidence, Journal of Banking and Finance, No. 26, pp. 825-855.
  • Honohan P., Klingebiel D. (2002), Controlling the Fiscal Costs of Banking Crises, in: Managing the Real and Fiscal Effects of Banking Crises, World Bank Discussion Paper No. 428.
  • Hutchinson M.M., Noy H. (2005), How Bad are the Twins? Output Costs of Currency and Banking Crises, Journal of Money, Credit and Banking, No. 37, pp. 725-752.
  • Irwin D.A, Terviö M. (2002), Does Trade raise Income? Evidence from the Twentieth Century, Journal of International Economics, No. 58, pp. 1-18.
  • Jansen M., Lennon C., Piermartini R. (2009), Exposure to External Country Specific Shocks and Income Volatility, World Trade Organization Staff Working Paper, January.
  • Kaminsky G., Lizondo S., Reinhard C. (1998), Leading Indicators of Currency Crises, International Monetary Fund, No. 45.
  • Klein M., Marion N. (1997), Explaining the Duration of Exchange Rate Pegs, Journal of Development Economics, No. 54.
  • Krugman P. (1997), A Model of Balance of Payments Crisis, Journal of Money, Credit and Banking, No. 11, pp. 311-325.
  • Kroszner R.S., Laeven L., Klingebiel D. (2007), Banking crises, financial dependence, and growth, Journal of Financial Economics, No. 84, pp. 187-228.
  • Koren M., Tenreyr S. (2007), Volatility and Development, Quarterly Journal of Economics, Vol. 122, No. 1 (February), pp. 243-287.
  • Kose M.A., Prasad E.S., Terrones M. (2005), How do Trade and Financial Integration affect the Relationship between Growth and Volatility?, IMF Working Paper WP/05/19, January.
  • Kose M.A. (2002), Explaining Business Cycles in Small Open Economies: How Much do World Prices Matter, Journal of International Economics, Vol. 56, No. 2.
  • ---
  • Levchenko A.A., Lewis L.T., Tesar L.L. (2010), The collapse of international trade during the 2008-2009 crisis: In search of the smoking gun, NBER Working paper 16006, May.
  • Międzynarodowy Fundusz Walutowy (1998), Financial Crises and Indicators of Vulnerability, World Economic Outlook, Chapter 4, May.
  • Międzynarodowy Fundusz Walutowy (1999), From Crisis to Recovery In the Emerging Market Economics, World Economic Outlook, Chapter 2, October.
  • Pazarbasioglu C., Otker I. (1997), Likelihood versus Timing of Speculative Attacks: A Case study of Mexico, European Economic Review, No. 41, pp. 837-845.
  • Próchniak M., Witkowski B. (2012), Konwergencja gospodarcza typu β w świetle bayesowskiego uśredniania oszacowań, Bank i Kredyt, nr 43, pp. 25-58.
  • Raddatz C. (2007), Are external shocks responsible for the instability of output in low-income countries? Journal of Development Economics, No. 84[1], pp. 155-187.
  • Razin A., Rubinstein Y. (2004), Growth Eff ects of Exchange Rate Regimes and Capital Account Liberalization in the Presence of Crises: A Nuanced View, NBER Working Paper 10555, June.
  • Rodrik D. (1997), Has Globalization Gone Too Far? Institute for International Economics Washington D.C.
  • Rosenberg Ch. et al. (2005), Debt-Related Vulnerabilities and Financial Crises, An Application of the Balance Sheet Approach to Emerging Market Countries, IMF, Washington.
  • Sala-i-Martin X., Doppelhofer G., Miller R. (2004), Determinants of long-term growth: a Bayesian Averaging of Classical Estimates (BACE) approach. American Economic Review No. 94, pp. 813-835.
  • Saquib O.F. (1999), An Investigation into the 1999 Collapse of the Brazilian Real, Economia Internazionale/International Economics, No. 56, pp. 193-206.
  • Schmitt-Grohé S. (1998), The International Transmission of Economic Fluctuations, Journal of International Economics, No. 44.
  • Schwarz G. (1978), Estimating the Dimension of a Model, Annals of Statistics, No. 6, pp. 461-464.
  • Serwa D. (2010), Larger crises cost more: Impact of banking sector instability on output growth, Journal of International Money and Finance, No. 29, pp. 1463-1481.
  • World Economic Outlook (2008), Financial Stress, Downturns and Recoveries, International Monetary Fund, October.
  • World Economic Outlook (2009), Crisis and Recovery, International Monetary Fund, April.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.