Credit booms in the countries of the Eurasian Economic Union. Are they related?

• Authors: Vymyatnina Yulia V. , Antonova Daria
• Languages of publication: EN

Abstracts

EN

In this paper we analyze the dynamics of domestic credits in the three countries of the recently formed Eurasian Economic Union: Russia, Belarus and Kazakhstan to see if it affects the dynamics of major macroeconomic variables, and if any interactions between the countries can be found. We have identified one credit boom in each country in the period from 1995:2 to 2014:1. The timings of credit booms in different countries are not related to each other, but rather to external events like the world economic and financial crisis of 2007–2008 or the initiation of the Customs Union between the three countries in mid-2010. The analysis of changes in the real per capita GDP and its main components (consumption, investments and government expenditures) confirms the results of the previous studies regarding growth process in the three countries.

Keywords

EN

post-Soviet integration; credit cycles; Eurasian Economic Union; Russia; Bela¬rus; Kazakhstan

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2014
• Issue: 3(45)
• Pages: 102-121

Contributors

author

Vymyatnina Yulia V.

author

Antonova Daria

References

• Amirov V., 2010, Prospects for cooperation between Russia and the countries of Central Asia after the global crisis, Problems of Economic Transition, vol. 53(5), pp. 70–85.
• Banerjee A., 1992, A simple model of herd behavior, Quarterly Journal of Economics, August, CVII:3, pp. 797–817.
• Bikhchandani S., Hirshleifer D., Welch I., 1998, Learning from the behavior of others: Conformity, fads, and informational cascades, Journal of Economic Perspectives, Summer, vol. 2:3, pp. 151–170.
• Brief Statistics Yearbook 2005–2012, Department of Macroeconomic Policy, Eurasian Economic Commission, http://www.eurasiancommission.org/ru/act/integr_i_makroec/dep_stat/econstat/Documents/Brief_Statistics_Yearbook_2005-2012.pdf.
• Calvo G., Mendoza E., 2000, Rational contagion and the globalization of securities markets, Journal of International Economics, June 51:1, pp. 79–113.
• Charemza W., Makarova S., Prytula Y., Raskina J., Vymyatnina Y., 2009, A small forward-looking inter-country model (Belarus, Russia and Ukraine), Economic Modelling, vol. 26(6), pp. 1172–1183.
• Frankel J.A., 2010, The Natural Resource Curse: A Survey, NBER Working Paper no. 15836.
• Gavin M., Hausmann R., Perotti R., Talvi E., 1996, Managing Fiscal Policy in Latin America and the Caribbean: Volatility, Procyclicality, and Limited Creditworthiness, Inter-American Development Bank, RES Working Papers 4032.
• Gerlach S., Smets F., 1996, Contagious Speculative Attacks, CEPR Discussion Paper No. 1055.
• György S. Jr., 2010, On the customs union of Belarus, Kazakhstan and Russia, Economic Annals, vol. 5(184), pp. 67–92.
• Hodrick R.J., Prescott E.C. 1997, Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit, and Banking, February, 29:1, pp. 1–16.
• Isakova A., Koczan Z., Plekhanov A., 2013, How Much Do Tariffs Matter? Evidence from the Customs Union of Belarus, Kazakhstan and Russia. EBRD Working Paper No.154.
• Isakova A., Plekhanov A., 2012, Customs union and Kazakhstan’s imports, CASE Network Studies and Analyses, no. 422.
• Kaminsky G., Reinhart C., 2000, On crises, contagion, and confusion, Journal of International Economics, June, 51:1, pp. 145–168.
• Kaminsky G., Reinhart C., Vegh C., 2005, When it rains, it pours: Procyclical capital flows and macroeconomic policies, NBER Macroeconomics Annual 2004, vol. 19, pp. 11–82.
• Kaminsky G., Reinhart C., Vegh C.A., 2003, The unholy trinity of financial contagion, Journal of Economic Perspectives, Fall, 17:4, pp. 51–74.
• Kodres L., Pritsker M., 2002, A rational expectations model of financial contagion, Journal of Finance, April, LVII:2, pp. 769–800.
• Libman A., Ushkalova D., 2013, Foreign trade effects of the Customs Union between Belarus, Kazakhstan and Russia, George Washington University Central Asia Program, Central Asia Economic Paper, no. 8, May.
• Mendoza E.G., Terrones M.E., 2008, An anatomy of credit booms: Evidence from macro aggregates and micro data, International Finance Discussion Papers 936, Board of Governors of the Federal Reserve System (U.S.).
• Mendoza E.G., Terrones M.E., 2012, An anatomy of credits booms and their demise, Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pp. 4–32, August.
• Mendoza E.G., 2006, Endogenous sudden stops in a business cycle model with collateral constraints: A Fisherian deflation of Tobin’s Q, NBER Working Papers 12564, National Bureau of Economic Research.
• Minsky H.P., 1964, Longer waves in financial relations: Financial factors in the more severe depressions, The American Economic Review, vol. 54, no. 3, Papers and Proceedings of the Seventy-sixth Annual Meeting of the American Economic Association (May, 1964), pp. 324–335.
• Minsky H.P., 1977, The financial instability hypothesis: An interpretation of Keynes and an alternative to “standard” theory, Nebraska Journal of Economics and Business, vol. 16, no. 1 (Winter, 1977), pp. 5–16.
• Minsky H.P., 1991, Financial crises: Systemic or idiosyncratic, The Levy Economics Institute of Bard College, Working Paper no. 51. April 1991.
• Nurkse R., 1944, International Currency Experience: Lessons of the Interwar Period, League of Nations, Geneva.
• Reinhart C., Reinhart V., 2009, Capital flow bonanzas: An encompassing view of the past and present, [in:] J. Frankel, C. Pissarides (eds.), NBER International Seminar in Macroeconomics, University of Chicago Press, 2008.
• Shleifer A., Vishny R.W., 1997, The limits of arbitrage, Journal of Finance, vol. LII, no. 1, March 1997, pp. 35–55.
• Tarr D. G., 2012, The Eurasian Customs Union among Russia, Belarus and Kazakhstan: Can it succeed where its predecessor failed? SSRN Working Paper No. 2185517, December.
• Vymyatnina Y., Antonova D., 2014, Creating a Eurasian Union: Economic Integration of the Former Soviet Republics, Palgrave Macmillan.