Ekonometrijska analiza učinaka konkurentnosti i bogatstva u visoko tečajno izloženoj zemlji - primjer Republike Hrvatske

master's thesis

• Title (english): Econometric analysis of the impact of competitiveness and wealth effects in highly foreign currency exposed country - case of the Republic of Croatia
• Author: Frane Banić
• Mentor: Irena Palić (mentor)
• Committee member: Vladimir Arčabić (predsjednik povjerenstva)
• Committee member: Lucija Rogić Dumančić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Economics and Business; (Department of Statistics); Zagreb
• Defense date and country: 2019-07-11, Croatia
• Scientific / art field, discipline and subdiscipline: SOCIAL SCIENCES; Economics; Macroeconomics

Abstract

Cilj diplomskog rada je provesti analizu učinaka konkurentnosti i bogatstva u malom otvorenom gospodarstvu s visokom tečajnom izloženošću na primjeru Republike Hrvatske. S jedne strane, prema ekonomskoj teoriji, porast realnog tečaja, odnosno realna deprecijacija uz Marshall – Lernerov uvjet pozitivno utječe na neto izvoz i gospodarski rast putem učinka konkurentnosti. S druge strane, utjecaj realne deprecijacije na osobnu potrošnju i gospodarski rast putem učinka bogatstva ovisi o razini tečajne izloženosti zemlje. Tečajna izloženost zemlje definirana je odnosom razine imovine i obveza koje su denominirane u domaćoj i stranoj valuti. U slučaju visoke tečajne izloženosti pri čemu su obveze denominirane u stranoj valuti veće od domaćeg bogatstva, kao u Republici Hrvatskoj, očekivano je da će realna deprecijacija djelovati na smanjenje osobne potrošnje i prorecesijski na gospodarstvo. U svrhu empirijske analize učinaka konkurentnosti i bogatstva primijenjen je Johansenov pristup kointegraciji te su
procijenjena tri modela dugog roka. U prvom modelu procijenjen je učinak konkurentnosti putem analize dugoročne povezanosti realnog deviznog tečaja i neto izvoza roba. Rezultati u prvom modelu upućuju na postojanje jedne kointegracijske relacije između varijabli te na pozitivan utjecaj realne deprecijacije na neto izvoz roba u dugom roku. U drugom modelu ispitan je dugoročni utjecaj realne deprecijacije na inozemni dug. Rezultati također ukazuju na postojanje jedne kointegracijske relacije između varijabli te na dugoročni pozitivan utjecaj realne deprecijacije na inozemni dug. Nadalje, u trećem modelu je ispitana povezanost neto bogatstva i osobne potrošnje u dugom roku. Rezultati upućuju na postojanje jedne kointegracijske relacije između varijabli te na pozitivnu dugoročnu povezanost neto bogatstva i osobne potrošnje. Naposljetku, rezultati ekonometrijske analize ukazuju na to da bi uslijed realne deprecijacije negativan učinak bogatstva istisnuo pozitivan učinak konkurentnosti, što bi se posljedično odrazilo na smanjenje gospodarskog rasta. Budući da je Republika Hrvatska visoko tečajno izložena, ne preporuča se provođenje realne deprecijacije, kako zbog negativnog učinka bogatstva na gospodarstvo, tako i zbog utjecaja na efikasnu monetarnu politiku Hrvatske narodne banke, uzevši u obzir uspješno dugogodišnje ostvarivanje primarnog cilja, odnosno stabilnosti cijena i posljedično financijske stabilnosti u zemlji.

Abstract (english)

The Master's Thesis aims to conduct an econometric analysis of the competitiveness and wealth
effects in a small open economy with high foreign currency exposure in the case of the Republic
of Croatia. On the one hand, according to economic theory, an increase in the real exchange
rate, namely real depreciation, along with Marshall - Lerner 's condition positively affects net
exports and economic growth through competitiveness effect. On the other hand, the impact of
real depreciation on personal consumption and economic growth through wealth effect depends
on the level of currency exposure of the country. The currency exposure is defined as the ratio
of the level of assets and liabilities denominated in domestic and foreign currency. In the case
of high foreign currency exposure, where liabilities denominated in foreign currency are greater
than total private wealth, as in the Republic of Croatia, it is expected that real depreciation will
negatively affect personal consumption and thus reduce economic growth. To conduct an
empirical analysis of the competitiveness and wealth effects, Johansen's cointegration approach
is used and three long-run models are estimated. In the first model, the competitiveness effect
is assessed by analysing the long-run relationship of the real exchange rate and net exports of
goods. The results of the first model point to the existence of one cointegration relation among
the variables and to the positive impact of real exchange rate depreciation on net exports in the
long-run. In the second model, the impact of real exchange rate depreciation on the external
debt is examined. The results also point to the existence of one cointegration relation among
the variables and the long-run positive impact of real exchange rate depreciation on external
debt. Furthermore, the third model examines the relationship between net wealth and personal
consumption in the long-run. The results point to the existence of one cointegration relation
between the variables and the positive long-run relationship between the net wealth and
personal consumption. Finally, the results of the econometric analysis indicate that in the case
of real exchange rate depreciation the negative wealth effect could crowd out the positive
competitiveness effect, which could consequently lead to a reduction in economic growth. Since
the Republic of Croatia is highly currency exposed, it is not advisable to conduct real exchange
rate depreciation not only due to negative wealth effect on the economy, but also due to its
impact on the effective monetary policy of the Croatian National Bank, taking into account the
successful long-term achievement of the primary goal, ie, price stability and consequently the
financial stability in the country.

• Keywords: učinak konkurentnosti; visoka tečajna izloženost; učinak bogatstva; Johansenov pristup kointegraciji; model dugog roka; Hrvatska
• Keywords (english): the competitiveness effect; the foreign currency exposure; the wealth effect; Johansen's cointegration approach; long-run model; Croatia
• Language: croatian
• URN:NBN: urn:nbn:hr:148:504695
• Study programme: Title: Economics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2019-07-15 09:32:01