On the Role of Portfolio Indicators of the Capital Flows in the Convergence Processes - An Application of Systems of Regression Equations in the Case of Selected CEE

• Autorzy: Piotr Adamczyk , Mateusz Pipień
• Języki publikacji: EN

Abstrakty

EN

We analysed the empirical importance of the capital flows in processes of economic convergence of the CEE region. We depart from reference net measures of capital flow reflecting the level of development of the financial system and focus on gross capital flow. Our econometric model is based on Seemingly Unrelated Regression Equation (SURE) elaborated by Arnold Zellner. This environment seems an alternative to standard panel regression, because it enables cross-country heterogeneity of parameters of interest (like pace of convergence). We tested several restrictions of the unconstrained SURE model, leading to simpler specifications that would allow for regional homogeneity of the role of a particular factor (like capital flows) in growth fluctuations and β-type convergence. (original abstract)

Słowa kluczowe

EN

Convergence; Labour productivity; Regression models; Capital flows

PL

Konwergencja; Produktywność pracy; Modele regresji; Przepływy kapitałowe

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2022
• Tom: 14
• Numer: nr 3
• Strony: 303--333

Twórcy

autor

Piotr Adamczyk

• Cracow University of Economics Poland

autor

Mateusz Pipień

• Cracow University of Economics, Poland

Bibliografia

• [1] Aizenman J., Jinjarak Y., Park D., (2013), Capital flows and economic growth in the era of financial integration and crisis. 1990-2010, Open Economies Review 24, 371-396.
• [2] Alcidi C., (2019), Economic integration and income convergence in the EU, Intereconomics 54(1), 5-11.
• [3] Barro R. J., Sala-i-Martin X., (1990), Economic growth and convergence across the United States, NBER Working Paper No. 3419.
• [4] Belke A., Haskamp U., Schnabl G., Zemanek H., (2015), Beyond Balassa and Samuelson: real convergence, capital flows, and competitiveness in Greece, CESifo Working Paper No. 5557.
• [5] Belke A., Schnabl G., Zemanek H., (2009), Real convergence, capital flows, and competitiveness in Central and Eastern Europe, Ruhr Economic Papers No. 147.
• [6] Blanchard O., Summers L. H., (2019), Evolution or revolution?: rethinking macroeconomic policy after the Great Recession, The MIT Press, Cambridge.
• [7] Cabral R., Castellanos-Sosa F. A., (2019), Europe's income convergence and the latest global financial crisis, Research in Economics 73, 23-34.
• [8] Cavenaile L., Dubois D., (2011), An empirical analysis of income convergence in the European Union, Applied Economics Letters 18(17), 1705-1708.
• [9] Davis J. S., Valente V., Wincoop E. V., (2019), Global capital flows cycle: impact on gross and net flows, NBER Working Paper No. 25721.
• [10] Eftimoski D., (2020), Some new insights on economic convergence and growth in Central, Eastern, and Southeastern Europe, Empirica 47, 863-884.
• [11] Eng Y. K., Wong C. Y., (2016), Asymmetric growth effect of capital flows: evidence and quantitative theory, Economic System 40, 64-81.
• [12] Feenstra R. C., Inklaar R., Timmer M. P., (2015), The next generation of the Penn World Table, American Economic Review 105(10), 3150-3182.
• [13] Forbes K. J., Warnock F. E., (2012), Capital flow waves: surges, stops, flight, and retrenchment, Journal of International Economics 88(2), 235-251.
• [14] Gourinchas P. O., Rey H., (2014), External adjustment, global imbalances, valuation effects, Chapter 10, [in:] Handbook of International Economics, [eds.:] G. Gopinath, E. Helpman, K. Rogoff, Elsevier, Amsterdam, 585-645.
• [15] Greta M., Lewandowski K., (2015), The impact of the global financial and economic crisis convergence process in OECD countries, Comparative Economic Research 18(1), 81-96.
• [16] Heller J., Kotliński K., (2018), Multi-speed integration vs. real convergence of Central and Eastern Europe countries with the European Union, Research Papers of Wrocław University of Economics No. 539, 51-61.
• [17] Igan D., Kutan A. M., Miraei A., (2020), The real effects of capital inflows in emerging markets, Journal of Banking and Finance 119, 1-26.
• [18] Janus T., Riera-Crichton D., (2013), International gross capital flows: new uses of balance of payments data and application to financial crises, Journal of Policy Modeling 35, 16-28.
• [19] Jarco D., Pipień M., (2020), Investigating the heterogeneity of economic convergence in Latin American countries - an econometric analysis of systems of regression equations, Latin American Economic Review 29(6), 1-17.
• [20] Mankiw N. G., Romer D., Weil D. N., (1992), A contribution to the empirics of economic growth, The Quarterly Journal of Economics 107(2), 407-437.
• [21] Matkowski Z., Próchniak M., Rapacki R., (2016), Real income convergence between Central Eastern and Western Europe: past, present, and prospects, presented at: 33rd CIRET (Centre for International Research on Economic Tendency Surveys) Conference on Economic Tendency Surveys and Economic Policy Copenhagen, Denmark, 14-17 September, available at: https://www. econstor.eu/handle/10419/146992.
• [22] Miron D., Alexe I., (2014), Capital flows and income convergence in the European Union. A fresh perspective in view of the macroeconomic imbalance procedure, Procedia Economics and Finance 8, 25-34.
• [23] Młynarzewska-Borowiec I., (2017), Neoclassical and technological catching-up as the channels of the real convergence process in the European Union, International Journal of Business and Economic Sciences Applied Research 10(2), 7-18.
• [24] Monastiriotis V., (2011), Regional growth dynamics in Central and Eastern Europe, LSE "Europe in Question" Discussion Paper No. 33.
• [25] Monfort M., Cuestas J. C., Ordóñez J., (2013), Real convergence in Europe: a cluster analysis, Economic Modelling 33, 689-694.
• [26] National Bank of Poland, Economic Institute, (2012), Przepływy kapitału w krajach rozwijających się w latach 2000-2011.
• [27] Neanidis K. C., (2019), Volatile capital flows and economic growth. The role of banking supervision, Journal of Financial Stability 40, 77-93.
• [28] Obstfeld M., (2012), Financial flows, financial crises, and global imbalances, Journal of International Money and Finance 31(3), 469-480.
• [29] Olszak M., Pipień M., (2016), Cross country linkages as determinants of procyclicality of loan loss provisions, European Journal of Finance 22(11), 965- 984.
• [30] Pipień M., Roszkowska S., (2019), The heterogeneity of convergence in transition countries, Post-Communist Economies 31(1), 75-105.
• [31] Rey H., (2015), Dilemma not trilemma: the global financial cycle and monetary policy independence, NBER Working Paper No. 21162.
• [32] Reza R., Zahra T. K., (2008), Evaluation of income convergence hypothesis in ten new member of the European Union. Panel unit root approach, Panoeconomicus 2, 157-166.
• [33] Rodrik D., (2013), Unconditional convergence in manufacturing, The Quarterly Journal of Economics 128(1), 165-204.
• [34] Sala-i-Martin X., (1997), I just ran two million regressions, American Economic Review 87, 178-183.
• [35] Sohinger J., (2005), Growth and convergence in European transition economies: the impact of foreign direct investment, Eastern European Economics 43, 73-94.
• [36] Solow R. M., (1956), A contribution to the theory of economic growth, The Quarterly Journal of Economics 70(1), 65-94.
• [37] Spence M., (2012), Growth in the postcrisis world [in:] In the wake of the crisis. Leading economists reassess economic policy, Chapter 19, [eds.:] O. Blanchard, D. Romer, M. Spence, J. Stiglitz, The MIT Press, Cambridge, 175-183.
• [38] Suh J., (2019), Three essays on capital flight, UC Santa Cruz Electronic Theses and Dissertations, available at: https://escholarship.org/uc/item/ 9189r6ng.
• [39] Szeles M. R., Marinescu N., (2010), Real convergence in the CEECs, Euro Area accession and the role of Romania, European Journal of Comparative Economics 7(1), 181-202.
• [40] Vilutiene L., Dumciuviene D., (2020), The impact of international capital flows on Central and Eastern European Countries' investments, savings, consumption, and current accounts, Inzinerine Ekonomika-Engineering Economics 31(4), 450- 460.
• [41] Zellner A., (1962), An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias, Journal of the American Statistical Association 57(298), 348-368.

Identyfikatory

DOI

10.24425/cejeme.2022.142712