Papers, Data, Software
Work in progress and unpublished working papers
Journal articles
Leveraged carry trade portfolios, Journal of Banking and Finance, 33(5), p. 944-957, May 2009, link to journal, abstract and earlier working paper version
Long maturity forward rates of major currencies are stationary, with Zoltán Schepp, Applied Economics Letters 16(11), p. 1175-1181, July 2009, link to journal, abstract and earlier working paper version, data
Estimation Bias and Inference in Overlapping Autoregressions: Implications for the Target Zone Literature, Oxford Bulletin of Economics and Statistics 70(1), 1–22, February 2008. link to journal, abstract and earlier working paper version
Business Cycle Synchronization in the Enlarged EU, with György Szapáry, Open Economies Review 19(1), p. 1-19, February 2008 link to journal, Earlier longer version appeared as: CEPR Discussion Paper No. 5179, abstract, data, Presentation slides
Financial Contagion in Five Small Open Economies: Does the Exchange Rate Regime Really Matter?, with György Szapáry, International Finance 3(1) 2000, p. 25-51., link to journal, abstract
Capital Stock and Economic Development in Hungary, with András Simon, The Economics of Transition 8(1) 2000, p. 197-223., link to journal, abstract and earlier working paper version
Book chapters
To The Commissioner for Enlargement and Neighbourhood Policy - Priorities for your term of office, In: Sapir, André (ed.): Memos to the new Commission - Europe's economic priorities 2010-2015, Bruegel, p 78-85.
Euro area enlargement and euro adoption strategies, with György Szapáry. A shortened version is forthcoming in: Buti, Marco, Servaas Deroose, Vitor Gaspar and João Nogueira Martins (eds.): Euro-The First Decade, Cambridge University Press, 2009. A longer is appeared as European Economy - Economic Papers 304, Directorate-General for Economic and Financial Affairs, European Commission, Brussels. The longer version has also appeared as Working Paper No 2008/1 of Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest. abstract Long version (83 pages including 43 Graphs and 12 Tables (pdf, 1.5MB) Short version (30 pages including 14 Graphs and 2 Tables (pdf, 0.4MB)
Fiscal Divergence and Business Cycle Synchronization: Irresponsibility is Idiosyncratic, with Andrew K. Rose and György Szapáry. In: Frankel, J.A. and C. Pissarides (eds.): ‘NBER International Seminar on Macroeconomics 2005’, MIT Press: Cambridge, MA, 2007, pp. 261-298 , link to book. Earlier versions appeared as: NBER Working Paper No. 11580, CEPR Discussion Paper No. 5188, MNB Working Paper No. 2005/3. Updated: August 2005, abstract, paper, Annual Quarterly Monthly data & software, Decade data, STATA output, Presentation slides
Changes in Hungarian foreign trade and trade balance with the European Union: A time series approach to the accession impacts, with Magdolna Sass, In: Pavlos Karadeloglou (ed.): ‘Enlarging the EU: The Trade Balance Effects’, New York: Palgrave Macmillian, 2002, pp. 51-88, abstract, link to book
Sectoral Analysis of Hungarian Foreign Trade and Trade Balance with the European Union, with Katalin Antalóczy, Ágnes Jánszky, and Magdolna Sass, In: Pavlos Karadeloglou (ed.): ‘Enlarging the EU: The Trade Balance Effects’, New York: Palgrave Macmillian, 2002, pp. 89-123, link to book
Relative resistance to currency crisis: The case of Hungary, comparisons with the Czech Republic and Poland, with István Ábel, In: Dasgupta, D. – Uzan, M. – Wilson, D. (eds.): ’Without crisis? Reconciling Capital Mobility and Economic Stability’, London, UK: Routledge, 2001, pp. 111-131. link to book
Work in progress and unpublished working papers
Cyclical dimensions of labour mobility after EU enlargement, with Alan Ahearne, Herbert Brücker and Jakob von Weizsäcker, Bruegel Working Paper 2009/2, May 2009, paper
Monetary Transmission in three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions, Working Paper No. 208, De Nederlandsche Bank, Department of Mathematical Economics and Economic Analysis of Corvinus University Working Paper 2009/3, Institute of Economics of Hungarian Academy of Sciences Discussion papers 2009/13, July 2009, abstract and paper
Time-varying coefficient methods to measure inflation persistence, with Balázs Varga, Mimeo, Updated: August 7, 2009, abstract, paper, data
Forecasting exchange rates of major currencies with long maturity forward rates, with Zoltán Schepp, Working Paper 2007/5, Department of Mathematical Economics and Economic Analysis, Corvinus University, Updated: December 11, 2008, abstract, paper, data, Presentation slides
Sign restrictions are more robust than long-run restrictions in structural VARs, Updated: February 2007, abstract, paper
Uncovering Yield Parity: A New Insight into the UIP Puzzle through the Stationarity of Long Maturity Forward Rates, with Gábor Rappai and Zoltán Schepp, De Nederlandsche Bank Working Paper No. 98., Updated: March 2006, abstract and paper,
data, Presentation slidesAsymptotics for polynomial autoregressions, mimeo, Updated: January 2006, abstract, paper
A New Method for Combining Detrending Techniques with Application to Business Cycle Synchronization of the New EU Members, with Gábor Vadas, MNB Working Paper 2005/5, Updated: December 2005, abstract, paper, data&software, Main output: output gaps for the euro-area, 8 new EU members, Russia, Turkey and Croatia for1993Q1-2004Q4, Presentation slides
Univariate Potential Output Estimations for Hungary, with Gábor Vadas, MNB Working Paper 2003/8, Updated: September 2003, abstract, paper
Analysis of large real exchange rate appreciation episodes, MNB Background Studies 2003/1, Updated: July 2003, abstract and paper
Exchange rate pass-through and real exchange rate in EU candidate countries, Deutsche Bundesbank Discussion Paper 10/2001, Updated: October 2002, abstract, paper
Potential Output and Foreign Trade in Small Open Economies, with András Simon, MNB Working Paper 2000/9, Updated: November 2001, abstract and paper
Spurious correlation in exchange rate target zone modeling: Testing the drift-adjustment method on the US dollar, random walk, and chaos, CEPR Discussion Paper No. 1890, May 1998, abstract and paper
Exchange Rate Premia and the Credibility of the Crawling Target Zone in Hungary, CEPR Discussion Paper No. 1307, January 1996, abstract and paper