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Convergence of business cycles as a confirmation of OCA theory
Vesna Dizdarević, Robert Volčjak, 2012, original scientific article

Abstract: This paper examines business cycles in EU members and compares them with the business cycles of the economic and monetary union in Europe (EMU) members assumed to satisfy the optimal currency area (OCA). Accordingly, a multi-resolution decomposition of GDP growth signals is used, and correlation coefficients are computed for decomposed signals to assess the numerical values of synchronicities of business cycles. Our results reveal indications that areas adopting the euro in many ways confirm OCA theory and that the business cycles of most of the new EU members are not synchronized with the EMU; as such, these members might experience some difficulties if joining the euro too early.
Published in DKUM: 24.07.2025; Views: 0; Downloads: 3
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The impact of macroprudential policy on credit growth in nine euro area economies
Eva Lorenčič, Robert Volčjak, Mejra Festić, 2023, original scientific article

Abstract: In this paper, we investigate the impact of macroprudential policy measures (bundled together into a macroprudential policy index, MPI) on the nonfinancial corporate sector credit and household credit growth using a one-step system GMM empirical research method. The goal of our paper is to test whether contractionary macroprudential policy stymies credit growth rate and whether expansionary macroprudential policy spurs credit growth rate in selected Euro Area economies (Austria, Belgium, Finland, Germany, Ireland, Italy, Netherlands, Slovenia, and Spain) over the period 2008Q4–2018Q4. We test two hypotheses: H1: The tightening of macroprudential policy measures reduces the non-financial corporate sector credit growth rate, and H2: The tightening of macroprudential policy measures reduces the growth rate of household credit. Based on our empirical results, we can confirm the first hypothesis. In contrast, the second hypothesis can be neither confirmed nor rejected since the explanatory variable of interest (MPI) is statistically insignificant in the second model.
Keywords: macroprudential policy, systemic risk, financial stability, dynamic panel data, one-step system GMM
Published in DKUM: 05.09.2023; Views: 299; Downloads: 241
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