پویایی های اقتصاد کلان در مقدونیه و اسلواکی : برآورد و مقایسه ساختاری

This paper estimates a structural macroeconomic model using data for Macedonia and Slovakia to characterize possible challenges Macedonia can face concerning macroeconomic stabilization during its transition process. A comparison of the estimated model parameters suggests that, in Slovakia, the output gap is less sensitive to real interest rate movements and prices experience greater inertia. The estimated monetary policy reaction functions show Macedonia and Slovakia as inflation targeters, with Macedonia as the more conservative one, despite its officially applied exchange rate targeting regime. The differences in the estimated parameters imply differing transmission mechanisms for Macedonia and Slovakia. Consequently, the variance of domestic variables in Slovakia is most influenced by monetary policy shocks, while there is no single dominating shock explaining the volatility of Macedonia's macroeconomic variables. The exchange rate shock, the monetary policy shock and the demand shock are jointly important in determining the volatility of Macedonia's variables. The model simulations indicate that Macedonia experiences lower output gap and inflation volatility than Slovakia. This comes, nevertheless, at the cost of higher interest rate and real exchange rate volatility in Macedonia, which could be an indication of more volatile financial markets with possible negative implications for financial stability.

The relation between macroeconomic stability and economic growth has been studied and emphasized for some time in both academic and policy circles, most recently by Hnatkovska and Loayza (2004) and Iradian (2007), among others. There also appears to be an important link between better structural, pro-growth policies and enhanced macroeconomic stabilization. This link is equally important, since macroeconomic stabilization is conducted under the structural constraints that characterize each national economy. Understanding the structural constraints to economic stabilization is therefore important for monetary policy to be implemented effectively, especially with regard to an appropriate choice of monetary policy regimes. This paper estimates and compares structural characteristics of Macedonia and Slovakia to look into possible challenges in macroeconomic stabilization Macedonia could be facing during its transition. Macedonia and Slovakia are small, landlocked Eastern European countries that emerged from the shadow of central planning in 1993. Macedonia lags behind Slovakia in terms of income convergence to developed countries and the transition to a modern market economy. Nevertheless, Slovakia, as a potential role model for Macedonia in terms of economic development (see World Bank, 2009), provides an interesting counterfactual to the de-facto applied monetary policy regime (following the IMF classification). While Macedonia has been a de-facto exchange rate targeter for the period studied in this paper, Slovakia has been an inflation targeter, most recently in the context of the Exchange Rate Mechanism II (ERMII), and in 2009 adopted the euro. Comparing the structural estimates for the two economies could thus help determine whether the de-facto monetary policy regime is effective or whether it is potentially creating problems for economic stabilization and economic growth in Macedonia. This paper is one of the first in the literature to estimate a fully microfounded open economy model with a wide range of rigidities for Macedonia and Slovakia, which could potentially be used as an analytical tool by policy makers in the two countries. The estimated structural, open-economy models for Macedonia and Slovakia suggest the following findings. Slovakia has a significantly higher elasticity of intertemporal substitution as well as export share in domestic production than Macedonia, and a significantly lower share of imports in consumption and the elasticity of substitution across the domestically produced and imported goods. These results suggest that a weaker credit channel of monetary policy exists in Slovakia. The estimated model also suggests that Slovakia has been experiencing significantly higher price rigidity than Macedonia due to differences concerning the production technology and a relatively lower share of firms that optimally reset their prices. The estimated monetary policy reaction functions to inflation, the output gap, the euro area interest rate and the exchange rate show that Macedonia and Slovakia are inflation targeters. This is an expected result for Slovakia, which officially applies an inflation targeting regime before adopting the euro in 2009, but contradicts the official pegged exchange rate regime applied by Macedonia. The results of this study show further that Macedonia has a lower output gap and inflation volatility than Slovakia, which comes at the cost of higher volatility in the interest rate and real exchange rate, and thus possibly higher volatility in financial markets with possible negative implications for financial stability going forward. There have been recently several attempts in the literature to evaluate New Keynesian-type models for Slovakia (Ciganova and Vasicek, 2009, Senaj and Zeman, 2008 and Senaj and Zeman, 2009) including the estimation of a New Keynesian Philips curve for Slovakia (Vasicek, 2009). Nevertheless these evaluations work mostly with calibrated models with limited consideration for the dynamics in the world economy (typically the euro area) and policy reaction functions that do not encompass the possibility for both inflation and exchange rate targeting. For Macedonia, there have been even less attempts to fit New Keynesian-type models to the data with the exception of Melecky and Najdov (2010) who compare the constraints to economic stabilization in Macedonia and Slovakia using an estimated semi-structural New Keynesian model. They sacrifice the identification of deep structural coefficients to relax cross-equation restrictions imposed by typical New Keynesian models and estimate the composite coefficients instead. In this paper, deep structural coefficients are estimated using a Bayesian approach, while allowing in the model for various types of nominal rigidities and a policy reaction function that nests both inflation targeting and exchange rate targeting regimes. The remainder of the paper is organized as follows. Section 2 discusses the model estimated for Macedonia and Slovakia. Section 3 describes the data and estimation method. Section 4 discusses the estimation results and the differences between Macedonia and Slovakia. Section 5 presents the impulse response analysis. Section 6 looks into the variance decomposition of the simulated variables from the estimated model. Section 7 summarizes and concludes.

This paper estimated a modified version of the structural model of Linde et al. (2008), using macroeconomic data for Macedonia and Slovakia, and compared the estimated structural parameters and transmission mechanisms, including the sizes of the identified structural shocks, across the two countries. We found that Slovakia has a significantly higher elasticity of intertemporal substitution, the export share in domestic production, and a significantly lower share of imports in consumption and the elasticity of substitution across the domestically produced and imported goods. These differences imply a lower sensitivity of the output gap to changes in the real interest rates in Slovakia, and thus a weaker credit channel of monetary policy. Slovakia has also been experiencing higher price inertia due to estimated differences concerning production technology and a greater fraction of firms which do not re-optimize their price. The estimated reaction functions of monetary policy, including inflation, the output gap, the euro area interest rate and exchange rate, show Macedonia and Slovakia, on average, as inflation targeters over the estimated period. This was expected for Slovakia which has applied inflation targeting as the official monetary policy regime before adopting the euro in 2009. However, the result for Macedonia contradicts its official monetary policy regime of the pegged exchange rate, and shows Macedonia as a relatively more conservative inflation targeter compared to Slovakia. The estimated differences in structural parameters imply differing transmission mechanism for Macedonia and Slovakia, including the response of CPI inflation to the demand shock; the response of the output gap to the supply shock; the response of the real exchange rate to the monetary policy shock; and the inflation response to the exchange rate shock. When considering only the differences in the estimated transmission mechanisms for Macedonia and Slovakia, and abstracting from the effect of the relative sizes of structural shocks, the aggregated foreign shocks are responsible for most of the variance in domestic variables in Macedonia and Slovakia. However, when the differing sizes of structural shocks are considered in addition, the variance of domestic variables in Slovakia is most influenced by monetary policy shocks. There is no single dominating shock explaining the volatility of Macedonia's macroeconomic variables, where the exchange rate shock, the monetary policy shock and the demand shock are jointly important in determining the variables' volatility. Based on simulations from the estimated model, Macedonia shows lower output gap and inflation volatility than Slovakia, at the cost of higher volatility in the interest rate and real exchange rate, and thus possibly also in financial markets. Nevertheless, these observations can change gradually with the progressing transition process in Macedonia and its further integration into international markets.