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Price setting and market structure: An empirical analysis of micro data

Coricelli, Fabrizio; Horváth, Roman - 2008

Most empirical studies on price setting that use micro data focus on advanced industrial countries. In this paper we analyze the experience of an emerging economy, Slovakia, using a large micro-level dataset that accounts for a substantial part of the consumer price index (about 5 million...

Persistent link: https://www.econbiz.de/10010322329

Potential output estimations for Hungary: A survey of different approaches

Benk, Szilárd; Jakab, Zoltán M.; Vadas, Gábor - 2005

This paper is a comprehensive analysis of Hungary's potential output. Since the concept of potential output is not unique, we present various interpretations of potential GDP, along with a large set of techniques for estimating it. Various estimates are presented and robustness analyses are...

Persistent link: https://www.econbiz.de/10010322392

Hungarian inflation dynamics

Lendvai, Julia - 2005

imported goods as intermediate production goods. Our estimation results indicate that Hungarian inflation is significantly more …

Persistent link: https://www.econbiz.de/10010322413

Implied volatility of foreign exchange options: Is it worth tracking?

Gereben, Áron; Pintér, Klára - 2005

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange rate uncertainty. The aim of our study is to investigate the limits of this statistic. We present some key factors that may deviate the value of implied volatility from the...

Persistent link: https://www.econbiz.de/10010322417

Assessing household credit risk: Evidence from a household survey

Holló, Dániel; Papp, Mónika - 2007

This paper investigates the main individual driving forces of Hungarian household credit risk and measures the … credit risk, namely the financial margin, the logit and the neural network approaches, and uses these methods for stress … testing. Our results suggest that the main individual factors affecting household credit risk are disposable income, the …

Persistent link: https://www.econbiz.de/10010322421

Determinants of spreads on sovereign bank loans: The role of credit history

Benczúr, Péter; Ilut, Cosmin - 2006

This paper is an empirical investigation into the role of credit history in determining the spread on sovereign bank loans. It employs an error-in-variables approach used in rational-expectations-macro-econometrics to set up a structural model that links sovereign loan spreads to realized...

Persistent link: https://www.econbiz.de/10010322423

Customer order flow, information and liquidity on the Hungarian foreign exchange market

Gereben, Áron; Gyomai, György; Kiss M., Nobert - 2006

Customer order flow - signed transaction volume between market makers and their customers - is a key concept in the microstructure approach to exchange rates. We attempt to explore what the data tells us about the role of customer order flow in the market for Hungarian forint, using the standard...

Persistent link: https://www.econbiz.de/10010322425

Fiscal calculus in a New Keynesian model with labor market frictions

Campolmi, Alessia; Faia, Ester; Winkler, Roland - 2011

calibrated model are also confirmed through Bayesian estimation. …

Persistent link: https://www.econbiz.de/10010322430

Macro stress testing with sector specific bankruptcy models

Valentiny-Endrész, Marianna; Vásáry, Zoltán - 2008

This paper employs the methodology of Wilson (1997) on Hungarian data to conduct a macro stress test in relation to banks' corporate loan portfolio. First, sector specific models of bankruptcy are estimated, where the bankruptcy frequency is linked to the general health of the economy. Data on...

Persistent link: https://www.econbiz.de/10010322432

The elasticity of taxable income: Estimates and flat tax predictions using the Hungarian tax changes in 2005

Bakos, Péter; Benczúr, Péter; Benedek, Dóra - 2008

Many Central and Eastern European countries are adopting flat tax schemes in order to boost their economies and tax revenues. Though there are signs that some countries do manage to improve on both fronts, it is in general hard to distinguish the behavioral response to tax changes from the...

Persistent link: https://www.econbiz.de/10010322435