Tomáš Slačík

Publications (2)0 Total impact

• Source

  Available from: Julia Wörz

  Article: Simple but Effective: The OeNB’s Forecasting Model for Selected CESEE Countries

  Jesús Crespo Cuaresma, Martin Feldkircher, Tomáš Slačík, Julia Wörz
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  ABSTRACT: This paper describes the new forecasting tool used by the Oesterreichische Nationalbank (OeNB) to derive near-term forecasts for GDP and imports for five Central, Eastern and Southeastern European (CESEE) countries, namely Bulgaria, Croatia, the Czech Republic, Hungary and Poland. An error correction (EC) model is estimated separately for each country by means of seemingly unrelated regressions. Each country-specific macromodel consists of six structural cointegration relationships that model private consumption, investment, exports, imports, the nominal exchange rate and the nominal interest rate using an augmented Taylor rule. Using quarterly data as of the first quarter of 1995, we produce forecasts for GDP and imports with this model. Notwithstanding the dynamic nature of the transition process as well as the limited availability and, in some cases, quality of data, our structural model for the CESEE countries performs fairly well and we expect further gains in forecasting accuracy as more data become available and their quality improves. JEL classification: C32, C53, E17
  Focus on European Economic Integration. 01/2009;
• Article: On the Determinants of Currency Crises: The Role of Model Uncertainty

  Jesús Crespo Cuaresma, Tomáš Slačík
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  ABSTRACT: In this contribution, we tackle explicitly the issue of model uncertainty in the framework of binary variable models of currency crises. Using Bayesian model averaging techniques, we assess the robustness of the explanatory variables proposed in the recent literature for both static and dynamic models. Our results indicate that the variables belonging to the set of macroeconomic fundamentals proposed by the literature are very fragile determinants of the occurrence of currency crises.
  Focus on European Economic Integration.