Naslov Ocjena bihevioralnoga i permanentnoga ravnotežnoga realnoga tečaja između Hrvatske i europodručja Naslov (engleski) Estimation of behavioural and permanent equilibrium real exchange rate between Croatia and euro area Autor Gordi Sušić Mentor Boris Cota (mentor)Član povjerenstva Lucija Rogić Dumančić (predsjednik povjerenstva)Ustanova koja je dodijelila Sveučilište u Zagrebu Datum i država obrane 2021-02-15, Hrvatska Znanstveno / umjetničko DRUŠTVENE ZNANOSTI Univerzalna decimalna klasifikacijaUDC ) 330 - Ekonomija. Ekonomska znanost Sažetak Predmet istraživanja disertacije ocjena je bihevioralnog (BEER) i permanentnog (PEER) ravnotežnog realnog tečaja između Hrvatske i europodručja, pri čemu naglasak na spomenuta dva ne-normativna koncepta odražava činjenice da je europodručje dominantan vanjskotrgovinski partner Hrvatske te da je tečaj između kune i eura od ključne važnosti u nominalnoj domeni. Empirijska ocjena koncepta bihevioralnog ravnotežnog tečaja, a time i potvrda prve istraživačke hipoteze, oslanja se na testiranje postojanja dugoročne (kointegracijske) veze između realnog bilateralnog tečaja te nekoliko teorijski relevantnih faktora i fundamenata. Kako trenutne vrijednosti determinanti često u kratkome roku odstupaju od njihovih ravnotežnih srednjoročnih razina, Hodrick-Prescott dekompozicijom ocijenjene su njihove srednjoročno ravnotežne reprezentante i, u konačnici, izveden permanentni ravnotežni tečaj između Hrvatske i europodručja, čime je potvrđena druga hipoteza. U radu su potom izvedena tekuća (ukupna) odstupanja kao razlika između povijesnog realnog bilateralnog tečaja i BEER (PEER) ravnotežnog koncepta. Analiza tekućih i ukupnih odstupanja pokazuje da je u razdoblju od 1. tr. 2000. do 4. tr. 2019. povijesni realni tečaj između Hrvatske i europodručja bio gotovo jednakim dijelom podcijenjen i precijenjen. Maksimalne i minimalne globalne vrijednosti, izražene u postotku, upućuju na nešto širi raspon kolebanja tekućih (–4,50%, +2,26%) naspram ukupnih odstupanja (–1,77%, +2,00%), čime je prihvaćena treća hipoteza rada. Svojstvo povratka povijesnog bilateralnog realnog tečaja BEER konceptu potvrđeno je empirijski ocijenjenim negativnim koeficijentom prilagodbe, koji pokazuje da je za njegov povratak tekućoj ravnoteži potrebno 10 tromjesečja, dok za njegov povratak srednjoročnoj, PEER ravnoteži u prosjeku treba nešto manje od tri kalendarske godine. Kako uz svojstvo konvergiranja izvedene vrijednosti tekućih i ukupnih odstupanja ne prelaze granicu od ±5%, u doktorskome radu je u konačnici potvrđena i posljednja, ključna hipoteza koja ističe da je kretanje povijesnog realnog tečaja između Hrvatske i europodručja bilo općenito konzistentno s dinamikom ocijenjenih BEER i PEER ravnotežnih koncepata. Navedeno upućuje da zaostajanje hrvatskog robnog izvoza u odnosu na bolje istovrsne pokazatelje novih članica Europske unije dominantno objašnjavaju strukturne manjkavosti domaćeg gospodarstva i nepovoljna necjenovna konkurentnost.
Sažetak (engleski) The field of research of the doctoral thesis is related to the concepts of equilibrium exchange rate, while the subject of research pertains to the assessment of behavioural (BEER) and permanent (PEER) equilibrium real exchange rate between Croatia and the euro area. The emphasis on the equilibrium real bilateral exchange rate reflects the facts that 19 euro area members are Croatia's dominant foreign trade partner and that kuna/euro exchange rate is of fundamental importance in nominal domain. The choice of two mentioned non-normative concepts also mirrors the fact that the current and medium term equilibrium exchange rate are of key importance to economic policy makers. Empirical evaluation of BEER, and acceptance of the first hypothesis in dissertation, relies on testing for the existence of a long-term (co-integration) relationship between the real bilateral exchange rate and theoretically relevant economic factors and fundamentals (relative terms of trade, relative ratio of tradables and non-tradables prices, net foreign assets, real interest rate differential and other risk premium indicators related to Croatia's fiscal position). As current values of the determinants in the BEER approach often deviate from their equilibrium medium-term levels, Hodrik-Prescott's decomposition was applied to derive their medium run equilibrium values and, ultimately, the representation of permanent equilibrium exchange rate between Croatia and the euro area, as stipulated by the second hypothesis. After empirical estimation of equilibrium concepts, the current and total misalignments (disparities) were derived. The current (total) misalignments represent the difference between bilateral real exchange rate and the assessed BEER (PEER) concept. The analysis of quarterly disparities shows that in a sample of 80 observations (from Q1 2000 to Q4 2019), the historical bilateral real exchange rate between Croatia and the euro area was almost equally underestimated and overestimated compared to assessed BEER and PEER equilibria. Maximum and minimum global values, expressed as a percentage, indicate a slightly wider range of fluctuations in the case of current misalignments (–4.50%, +2.26%) versus total misalignments (–1.77%, +2.00%), that is in line with third hypothesis and reflects the fact that current misalignments include a cyclic component and temporary and transient noises. The convergence property is confirmed by econometrically estimated negative adjustment coefficient of the real bilateral exchange rate from the error correction term, whose absolute value indicates that it takes on average 10 quarters for it to return to BEER equilibrium. The analysis in the thesis also confirms that the historical real exchange rate between Croatia and the euro area has the propensity to converge to the medium-term equilibrium concept, and that it takes on average somewhat less than three calendar years for its return to PEER. As equilibrium converging values of current and total misalignments never exceed the range of ±5%, and following the qualitative assessment of disparities developed by the International Monetary Fund, the doctoral thesis ultimately corroborated the final, fundamental hypothesis by showing that historical real exchange rate between Croatia and the euro area has been generally consistent with equilibrium dynamics of BEER and PEER, and never structurally or fundamentally misaligned. This indicates that the lag of Croatian merchandise exports in relation to better similar indicators of the new EU Member States should be predominantly attributed to structural shortcomings of the domestic economy and unfavourable non-price competitiveness. When it comes to applicative contributions of the dissertation, numerous difficulties and limitations in assessment of equilibrium exchange rate concepts and the fact that various approaches often result in different results that change over time suggest that economic policy makers should avoid trying to target an equilibrium or desired level of real exchange rate, but should be aware and include their estimates in the pool of information necessary for responsible and efficient policy making. Any empirical finding in this field should not be interpreted mechanically but cautiously, and at the same time taking into account the key characteristics of the domestic economy and secular trends, the results of different methodological approaches and other relevant macroeconomic indicators.
Ključne riječi
ravnotežni tečaj
realni tečaj između Hrvatske i europodručja
bihevioralni ravnotežni tečaj
BEER
permanentni ravnotežni tečaj
PEER
tekuća odstupanja
ukupna odstupanja
Ključne riječi (engleski)
equilibrium exchange rate
real exchange rate between Croatia and euro area
behavioural equilibrium exchange rate
BEER
permanent equilibrium exchange rate
PEER
current misalignment
total misalignment
Jezik hrvatski URN:NBN urn:nbn:hr:148:966476 Datum promocije 2021 Studijski program Naziv: Ekonomija i poslovna ekonomija Vrsta resursa Tekst Način izrade datoteke Izvorno digitalna Prava pristupa Otvoreni pristup Uvjeti korištenja Datum i vrijeme pohrane 2021-04-07 13:25:30
