Exploring the Gibson law in CEE countries using a time series approach

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dc.contributor.authorŠkare, Marinko
dc.contributor.authorTomić, Daniel
dc.contributor.authorPorada-Rochoń, Małgorzata
dc.contributor.otherEkonomická fakultacs
dc.date.accessioned2018-12-06
dc.date.accessioned2018-12-17T08:14:27Z
dc.date.available2018-12-17T08:14:27Z
dc.description.abstractThis study investigates the presence of the Gibson paradox in the transitional countries. The Gibson law has been a source of widespread academic discussion on the dynamics of long-term interest rates and the price level. Today the Gibson law re-emerges on the economic science stage since historically low-interest rates and defl ationary pressures are present worldwide. This paper studies the correlation between cyclical components of interest rates and prices for CEE (Central and Eastern Europe) states over the 2000-2014 period. Empirical results show only a weak correlation between the cyclical components implying no long run (cointegrating) relationship between bond yields and prices. Evidence presented in the study shows Gibson law is not valid for the CEE states, advancing the possibility that fi xed exchange regimes, lack of the gold reserves, and monetary stabilisation policies are the forces driving the law outside the CEE area. The results show that Gibson paradox is not present in CEE states but also point to the possible non-linear nature of the paradox. In order to investigate the non-linear nature of the paradox in CEE, because of constant changes and adaptation of the monetary policies in CEE states, future studies should use a long memory approach. The paper shows limited theoretical explanation for the non-existent Gibson law in CEE economies but still advances an explanation – lack of gold reserves, fi xed exchange regimes and restrictive monetary policy. Policy makers should monitor the nature of the paradox in relation to the historically low levels of interest rates in order to avoid or at least alleviate future fi nancial crisis.en
dc.formattext
dc.format.extent15 strancs
dc.identifier.doi10.15240/tul/001/2018-4-001
dc.identifier.eissn2336-5604
dc.identifier.issn1212-3609
dc.identifier.orcid0000-0001-6426-3692 Škare, Marinko
dc.identifier.orcid0000-0002-7309-6096 Tomić, Daniel
dc.identifier.orcid0000-0002-3082-5682 Porada-Rochoń, Małgorzata
dc.identifier.urihttps://dspace.tul.cz/handle/15240/124741
dc.language.isoen
dc.publisherTechnická Univerzita v Libercics
dc.publisherTechnical university of Liberec, Czech Republicen
dc.publisher.abbreviationTUL
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dc.relation.ispartofEconomics and Managementen
dc.relation.isrefereedtrue
dc.rightsCC BY-NC
dc.subjectinterest ratesen
dc.subjectpricesen
dc.subjectGibson lawen
dc.subjectunit rooten
dc.subjectcointegrationen
dc.subjectCEE statesen
dc.subject.classificationE4
dc.subject.classificationE5
dc.subject.classificationN1
dc.subject.classificationC19
dc.titleExploring the Gibson law in CEE countries using a time series approachen
dc.typeArticleen
local.accessopen
local.citation.epage18
local.citation.spage4
local.facultyFaculty of Economics
local.filenameEM_4_2018_01
local.fulltextyes
local.relation.abbreviationE+Mcs
local.relation.abbreviationE&Men
local.relation.issue4
local.relation.volume21
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