Weathering Global Shocks and Macrofinancial Vulnerabilities in Emerging Europe: Comparing Turkey and Poland

Focus on European Economic Integration, Q1/16, 46–65

20 Pages Posted: 4 May 2016

See all articles by Markus Eller

Markus Eller

Oesterreichische Nationalbank (OeNB)

Florian Huber

University of Salzburg

Helene Schuberth

Oesterreichische Nationalbank (OeNB)

Date Written: 2016

Abstract

While both Turkey and Poland weathered the 2008/2009 crisis relatively well compared to other countries in Central, Eastern and Southeastern Europe (CESEE), their macrofinancial indicators responded fairly strongly to the Federal Reserve System’s tapering announcement in May 2013. Among other things, marked currency depreciation and reversals in capital flows challenged policymakers in the region. To get a deeper understanding of the transmission of global shocks to macrofinancial variables in CESEE, we use a Bayesian global vector autoregressive model to investigate the effects of a U.S.-based monetary policy shock. Our Simulation results suggest that both Turkey and Poland exhibit pronounced short- to medium-run macroeconomic responses to U.S. monetary policy shocks. The responses of Turkey tend to be somewhat stronger than those of Poland and the CESEE average, signaling the structurally different nature of the Turkish economy. Overall, the identified impulse responses largely resemble the actual post-tapering announcement developments.

Keywords: external vulnerabilities, international shock transmission, monetary policy shock, tapering, capital flows, GVAR, Turkey, Poland, CESEE

JEL Classification: C32, F41, F44, E52

Suggested Citation

Eller, Markus and Huber, Florian and Schuberth, Helene, Weathering Global Shocks and Macrofinancial Vulnerabilities in Emerging Europe: Comparing Turkey and Poland (2016). Focus on European Economic Integration, Q1/16, 46–65. Available at SSRN: https://ssrn.com/abstract=2774691

Markus Eller (Contact Author)

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3
Vienna, A-1090
Austria
+43 1 404 20-5227 (Phone)
+43 1 404 20-045227 (Fax)

HOME PAGE: http://www.oenb.at/en/Monetary-Policy/Research/Researchers/Markus-Eller.html

Florian Huber

University of Salzburg ( email )

Akademiestraße 26
Salzburg, Salzburg 5020
Austria

Helene Schuberth

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3, PO Box 61
Vienna,
1010 Vienna, A-1011
Austria

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