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REAL CONVERGENCE OF EU ECONOMIES: DO STRUCTURAL BREAKS MATTER?

100%
Soriċ P.
Ekonomický časopis (Journal of Economics)
|
2017
|
vol. 65
|
issue 8
691 – 714
EN
This study examines the real GDP convergence of EU Member States. It adds to the abundance of conditional convergence studies by utilizing a unit root test with up to two structural breaks, finding that the crisis has not stopped the long-run convergence within the EU. Differing from similar studies, we discriminate between up and down breaks in the convergence process, and apply the non-parametric Wilcoxon signed-rank test to identify variables that are coincidental with these shifts. Convergence accelerations are characterized by nominal exchange rate and unit labour cost changes, while slowdowns are followed by investment shocks. The importance of external trade is particularly emphasized during convergence accelerations. Several different robustness checks leave these findings quite intact.
2

FINANCIAL INTEGRATION BEFORE AND AFTER THE CRISIS: EULER EQUATIONS (RE)VISIT THE EUROPEAN UNION

63%
Globan T., Soriċ P.
Ekonomický časopis (Journal of Economics)
|
2017
|
vol. 65
|
issue 3
237 – 262
EN
This paper aims to provide a rare application of several types of Euler equation tests to estimate the degree of financial integration of 28 EU countries with the Eurozone. The analysis is done separately for risk-free and risky assets in three types of financial markets (bond, stock and money markets). To examine whether the recent crisis impacted the levels of financial integration in EU member states, all models were estimated for the entire period of available quarterly data (1995 – 2014), as well as for the pre-crisis period only. We construct an Euler integration index (EII) that measures the integration level of countries across financial markets and show that the old member states (OMS) recorded higher integration levels than the new member states (NMS) in the pre-crisis period. The crisis has considerably decreased the gap, resulting with NMS surpassing the OMS in EII values.
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