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Analyses of the Czech Republic's Current Economic Alignment with the Euro Area

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Analyses of the Czech Republic's Current Economic Alignment with the Euro Area ANALYSES OF THE CZECH REPUBLIC’S CURRENT ECONOMIC ALIGNMENT WITH THE EURO AREA 1 201 1 Authors: Tomáš Adam D1 Róbert Ambriško 1.1.2, 1.1.3 Kateřina Arnoštová 2.3.2 Oxana Babecká Kucharčuková 1.1.5, 1.1.7, 1.2.1 Jan Babecký 1.1.4, 1.3.5, 2.2.1, Box 1 Kamil Galuščák 2.3.1, 2.3.4 Adam Geršl 1.3.1, 2.5 Dana Hájková A, B, C, 1.1.1 Tomáš Havránek C Tomáš Holub B, C, 1.1.1 Narcisa Liliana Kadlčáková 1.1.6, 1.1.8, 1.2.2 Luboš Komárek D1, 1.3.5 Zlatuše Komárková 1.3.5 Petr Král B, D Jitka Lešanovská 1.3.1, 2.5 Renata Pašaličová 1.3.2, 1.3.3, 1.3.4 Luboš Růžička 2.3.2 Branislav Saxa 2.2.2 Jakub Seidler 1.3.1, 2.5 Pavel Soukup 2.1 Jan Šolc 2.3.1, 2.3.4, 2.4 Romana Zamazalová A, B, 3 Ivo Zeman 2.3.3 Editors: Romana Zamazalová Dana Hájková Czech National Bank / Analyses of the Czech Economy’s Alignment with the Euro Area 2011 CONTENTS 2 A INTRODUCTION .................................................................................................... 7 B EXECUTIVE SUMMARY........................................................................................... 8 C THEORETICAL FOUNDATIONS OF THE ANALYSES................................................ 15 D ECONOMIC (MIS)ALIGNMENT OF EURO AREA COUNTRIES.................................. 19 1 ANALYSIS OF EURO AREA ECONOMIC COHESION.......................................... 19 1.1 CONVERGENCE OF REAL AND NOMINAL VARIABLES ..................................... 19 1.2 FISCAL POSITIONS IN THE EURO AREA ...................................................... 22 2 CHANGES IN THE ECONOMIC POLICY COORDINATION FRAMEWORK AND STEPS TAKEN IN CONNECTION WITH THE ESCALATION OF THE EURO AREA DEBT CRISIS ................................................................................................. 22 3 CONCLUSION................................................................................................. 26 E RESULTS OF THE ANALYSES................................................................................ 27 1 CYCLICAL AND STRUCTURAL ALIGNMENT ..................................................... 27 1.1 DIRECT ALIGNMENT INDICATORS.............................................................. 27 1.1.1 Real economic convergence ............................................................. 27 1.1.2 Correlation of economic activity........................................................ 31 1.1.3 Analysis of cyclical alignment using the Taylor rule.............................. 36 1.1.4 Synchronisation of economic shocks ................................................. 38 1.1.5 Structural similarity of the economies ............................................... 40 1.1.6 Interest rate convergence ............................................................... 41 1.1.7 Exchange rate convergence ............................................................. 44 1.1.8 Analysis of exchange rate volatility ................................................... 45 1.2 EFFECT OF INTERNATIONAL ECONOMIC RELATIONS..................................... 46 1.2.1 Integration of the economy with the euro area ................................... 47 1.2.2 Intra-industry trade........................................................................ 49 1.3 FINANCIAL MARKET ................................................................................. 51 1.3.1 Financial system ............................................................................ 51 1.3.2 Structure of financial assets and liabilities of corporations and households…. ................................................................................ 52 1.3.3 Effect of monetary policy on client interest rates and new loans ............ 56 1.3.4 Spontaneous euroisation ................................................................. 59 1.3.5 Financial market integration............................................................. 61 2 ADJUSTMENT MECHANISMS .......................................................................... 66 2.1 FISCAL POLICY........................................................................................ 66 2.1.1 Stabilising function of public budgets ................................................ 66 2.1.2 Government deficit and debt and the scope for stabilising fiscal policy ... 68 2.1.3 Sustainability of public finance ......................................................... 72 2.2 WAGE FLEXIBILITY AND INFLATION PERSISTENCE....................................... 73 2.2.1 Degree of adjustment of real wage growth to the unemployment rate (the Phillips curve) ................................................................................ 73 Box 1: How do firms adjust their wage costs in a situation of rigid base wages? 74 2.2.2 Inflation persistence ....................................................................... 75 2.3 LABOUR MARKET FLEXIBILITY ................................................................... 76 Czech National Bank / Analyses of the Czech Economy’s Alignment with the Euro Area 2011 CONTENTS 3 2.3.1 Unemployment and internal labour market flexibility ........................... 76 2.3.2 Estimate of the structural unemployment rate .................................... 81 2.3.3 International labour mobility ............................................................ 82 2.3.4 Institutional environment ................................................................ 85 2.4 PRODUCT MARKET FLEXIBILITY................................................................. 92 2.4.1 Administrative barriers to entrepreneurship ....................................... 92 2.4.2 Tax burden on businesses ............................................................... 93 2.5 THE BANKING SECTOR AND ITS SHOCK-ABSORBING CAPACITY..................... 94 3 SUMMARY OF RESULTS OF ANALYSES ......................................................... 100 F METHODOLOGICAL PART .................................................................................. 106 G REFERENCES ..................................................................................................... 127 Czech National Bank / Analyses of the Czech Economy’s Alignment with the Euro Area 2011 TABLES 4 Table 1: GDP per capita at purchasing power parity (EA-17 = 100) ................................... 28 Table 2: Average price level of GDP (EA-17 = 100) ......................................................... 28 Table 3: Real exchange rate against the euro (HICP deflated)........................................... 29 Table 4: Three-month ex-post real interest rates (%; HICP deflated)................................. 30 Table 5: Correlation coefficients of economic activity – evolution over time ........................ 33 Table 6: Correlation coefficients of overall export activity and exports to the euro area with euro area GDP – evolution over time. ............................................................... 35 Table 7: Average squares of deviations from implied euro area rates ................................. 38 Table 8: Correlation of economic shocks vis-à-vis the euro area – demand shocks............... 39 Table 9: Correlation of economic shocks vis-à-vis the euro area – supply shocks................. 40 Table 10: Shares of economic sectors in GDP in 2010 (%) ............................................... 41 Table 11: Shares of FDI from the euro area in GDP (%)................................................... 48 Table 12: Shares of DI in the euro area in GDP (%) ........................................................ 48 Table 13: Grubel-Lloyd index for 2010 by degree of aggregation....................................... 50 Table 14: Grubel-Lloyd index for 2010 by type of trade ................................................... 50 Table 15: Debt of non-financial corporations (loans and debt securities, % of GDP) ............. 54 Table 16: Household debt (bank and non-bank, % of GDP) .............................................. 56 Table 17: Gross saving ratio of households (% of gross disposable income)........................ 56 Table 18: Beta coefficients .......................................................................................... 62 Table 19: General government balance, European Commission estimate (% of GDP) ........... 69 Table 20: Shares of mandatory state budget expenditure (%) .......................................... 70 Table 21: Public revenues and expenditures in 2010 (% of GDP)....................................... 70 Table 22: Government debt, European Commission estimate (% of GDP)........................... 71 Table 23: Debt service, European Commission estimate (% of GDP).................................. 71 Table 24: Age-related government expenditures (% of GDP)............................................ 72 Table 25: Elasticity of wages to the unemployment rate .................................................. 73 Table 26: Share of firms that froze or indexed wages in 2002–2006 ...................................... Table 27: Share of bonuses and benefits in total wage bill in 2007 .................................... 74 Table 28: Share of firms that used alternative labour cost adjustment strategies in 2002–2006 ................................................................................................................. 75 Table 29: Inflation persistence estimates....................................................................... 76 Table 30: Long-term unemployment rate (% ) ............................................................... 77 Table 31: Share of the long-term unemployed
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