Photo Balázs Egert

Balázs Egert

Chargé(e) de recherches
  • Email
  • Tél. professionnel 0140977348
  • Bureau à Paris Nanterre (Bât. + num.) G604A
  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Theme(s)
    • Economie internationale
    • Macroéconomie
    • Economie du travail

2021-1 "Walking the tightrope: avoiding a lockdown while containing the virus"

Balázs Egert, Yvan Guillemette, Fabrice Murtin, David Turner

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Abstract
Empirical work described in this paper explains the daily evolution of the reproduction rate, R, and mobility for a large sample of countries, in terms of containment and public health policies. This is with a view to providing insight into the appropriate policy stance as countries prepare for a potentially protracted period characterised by new infection waves. While a comprehensive package of containment measures may be necessary when the virus is widespread and can have a large effect on reducing R, they also have effect on mobility and, by extension, economic activity. A wide-ranging package of public health policies – with an emphasis on comprehensive testing, tracing and isolation, but also including mask-wearing and policies directed at vulnerable groups, especially those in care homes – offer the best approach to avoiding a full lockdown while containing the spread of the virus. Such policies may, however, need to be complemented by selective containment measures (such as restricting large public events and international travel or localised lockdowns) both to contain local outbreaks and because implementing some of the recommended public health policies may be difficult to achieve or have unacceptable social costs.
Classification-JEL
C50, H10, H12, I18
Mot(s) clé(s)
Covid-19, lockdown, non-pharmaceutical interventions, mobility
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2021-3 "The policy drivers of self-employment: New evidence from Europe"

Mark Baker, Balázs Egert, Gábor Fülöp, Annabelle Mourougane

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Abstract
Using cross-country time series panel regressions for the last two decades, this paper seeks to identify the main policy and institutional factors that explain the share of self-employment across European countries. It looks at the aggregate share of self-employed as well as its breakdown by age, skill and gender. The generosity of unemployment benefits, and to a lesser extent, spending on active labour market policies appear to be robust determinants of the long-term share of self-employed in European countries. No significant relation could be identified between the stringency of employment protection and aggregate self-employment. However, there are significant, and oppositely signed, impacts on high- and low-skilled self-employed separately. Both the tax wedge and the minimum wage appear to be related positively to the share of self-employed in the long term, but the relation holds for some categories of workers only.
Classification-JEL
J01, J21, J41, J48
Mot(s) clé(s)
self-employment, labour market, labour market regulations, labour market institutions, Europe
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2018-26 "The Nonlinear Relationship between Economic growth and Financial Development"

Balázs Egert, Fredj Jawadi

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Abstract
This paper studies the relationship between financial development and economic growth in a large sample of developing, emerging and advanced economies and on a separate, longer sample including only OECD countries over the recent period. Estimation results based on nonlinear threshold regression models do not confirm the too-much-finance-is-bad hypothesis, especially if the cross-country variation in the data is accounted for. We cannot indeed identify a tipping point beyond which financial development has a negative relation to economic development. What we see at best is that the positive effect of finance declines at higher levels of finance. Our results also show that banking and market finance are complementary. The positive effect of stock market deepening is larger when banking finance is more pronounced (and the other way around). But the thresholds above which complementarity kicks in are rather low. Finally, our results indicate that finance has a stronger positive effect in more developed countries. At the same time, the positive effect of finance is weaker in countries with lower trade openness. This may suggest that more open economies have access to alternative sources of external financing.
Classification-JEL
C2, G15.
Mot(s) clé(s)
financial development, economic growth, nonlinearity, threshold effects.
File

2018-19 "The quantification of structural reforms: extending the framework to emerging market economies"

Balázs Egert

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Abstract
This paper estimates and quantifies the impact of structural reforms on per capita income for a large set of OECD and non-OECD countries. The findings suggest that the quality of institutions matters to a large extent for economic outcomes. More competition-friendly regulations, as measured by the OECDs’ Product Market Regulation (PMR) indicator improve economic outcomes. Lower barriers to foreign trade and investment help MFP. Lower barriers to entry and less pervasive state control of businesses boost the capital stock and the employment rate. No robust link between labour market regulation and MFP and capital deepening could be established. But looser labour market regulation is found to go hand in hand with higher employment rates. The paper shows that countries at different level of economic development face different policy impacts. Furthermore, PMR effects depend on the level of labour market regulations.
Classification-JEL
D24 ; E17 ; E22 ; E24 ; J08
Mot(s) clé(s)
structural reforms, product markets, labour markets, regulation, institutions, simulation, multi-factor productivity, investment, employment, per capita impact, OECD, emerging market economies, developing countries.
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2018-20 "Aggregate multi-factor productivity: measurement issues in OECD countries"

Balázs Egert

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Abstract
This paper analyses for 34 OECD countries the extent to which the calculation of aggregate multi-factor productivity (MFP) is sensitive to alternative parameterisations. The starting point is the definition of MFP used in previous work in the OECD’s Economics Department (e.g. Johansson et al. 2013). They include alternative MFP measures, with human capital included or excluded, with different measures of Purchasing Power Parity (PPP) exchange rates, using time-varying capital depreciation rates and different measures of capital stock and labour input (headcount against hours worked). The main result of the paper is that whether or not human capital is included in MFP makes a significant difference for the level and dynamics of MFP. At the same time, MFP measures are less sensitive to other parameters of the calculation.
Classification-JEL
O4
Mot(s) clé(s)
multi-factor productivity, measurement, human capital, OECD
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2017-18 "The Impact Of Regulations And Institutions On Multi-Factor Productivity: New Evidence From Macroeconomic Estimates"

Balázs Egert

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Abstract
Empirical research on the drivers of multi-factor productivity (MFP) is abundant at the firm- and industry level but surprisingly little research has been conducted on the determinants of MFP at the macroeconomic level. In this paper, we seek to understand the drivers of country-level MFP with a special emphasis on product and labour market policies and the quality of institutions. For a panel of OECD countries, we find that anticompetitive product market regulations are associated with lower MFP levels and that higher innovation intensity and greater openness go in tandem with higher MFP. We also find that the impact of product market regulations on MFP may depend on the level of labour market regulations. Better institutions, a more business friendly environment and lower barriers to trade and investment amplify the positive impact of R&D spending on MFP. Finally, we also show that cross-country MFP variations can be explained to a considerable extent by cross-country variation in labour market regulations, barriers to trade and investment and institutions (including corruption).
Classification-JEL
C23, C51, J2, L43, L51, O4
Mot(s) clé(s)
multi-factor productivity, trade openness, innovation, product market regulation, labour market regulation, institutions, policy interactions, OECD
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2017-17 "Regulation, Institutions and Productivity: New Macroeconomic Evidence From OECD Countries"

Balázs Egert

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Abstract
This paper investigates the relationship linking investment (capital stock) and structural policies. Using a panel of 32 OECD countries from 1985 to 2013, we show that more stringent product and labour market regulations are associated with less investment (lower capital stock). The paper also sheds light on the existence of non-linear effects of product and labour market regulation on the capital stock. Several alternative testing methods show that the negative influence of product and labour market regulation is considerably stronger at higher levels. The paper uncovers important policy interactions between product and labour market policies. Higher levels of product market regulations (covering state control, barriers to entrepreneurship and barriers to trade and investment) tend to amplify the negative relationships between product and labour market regulations and the capital stock. Equally important is the finding that the rule of law and the quality of (legal) institutions alters the overall impact of regulations on capital deepening: better institutions reduce the negative effect of more stringent product and labour market regulations on the capital stock, possibly through the reduction of uncertainty as regards the protection of property rights.
Classification-JEL
C23, C51, J2, L43, L51, O4
Mot(s) clé(s)
aggregate investment, capital deepening, structural policy, product market regulation, labour market regulation, poliy interaction, OECD
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2017-15 "The Quantification of Structural Reforms in OECD countries: A New Framework"

Balázs Egert, Peter Gal

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Abstract
This document describes and discusses a new supply side framework that quantifies the impact of structural reforms on per capita income in OECD countries. It presents the overall macroeconomic impacts of reforms by aggregating over the effects on physical capital, employment and productivity through a production function. On the basis of reforms defined as observed changes in policies, the paper finds that product market regulation has the largest overall single policy impact five years after the reforms. But the combined impact of all labour market policies is considerably larger than that of product market regulation. The paper also shows that policy impacts can differ at different horizons. The overall long-term effects on GDP per capita of policies transiting through capital deepening can be considerably larger than the 5- to 10- year impacts. By contrast, the long-term impact of policies coming only via the employment rate channel materialises at shorter horizon.
Classification-JEL
D24; E17; E22; E24; J08.
Mot(s) clé(s)
structural reforms, product markets, labour markets, regulation, simulation, multi-factor productivity, investment, employment, per capita impact, OECD
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2013-23 "The 90% public debt threshold: The rise and fall of a stylised fact"

Balázs Egert

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Abstract
This paper analyses the original Reinhart-Rogoff dataset, made public by Herndon et al. (2013), on the basis of descriptive statistics and formal econometric testing. First, based on the public debt thresholds(30%, 60% and 90%) proposed by Reinhart and Rogoff (2010), descriptive statistics reveal that real GDP growth slows considerably as the central government debt-to-GDP ratio goes beyond the 30% threshold and that no further slowdown can be observed in the data as the debt-to-GDP ratio rises above 60% and 90% during the periods 1790-2009 and 1946-2009. For the United States (1946-2009), the negative nonlinear finding completely disappears for any level of public debt, once reverse causality and influential outliers are accounted for. Looking at general (and central) government debt during the more recent period of 1960-2009 suggests that economic slowdown occurs when public debt moves above 60% or 90% of GDP. But it seems more appropriate to determine nonlinearity and the associated debt threshold endogenously. Therefore, in a second stage, we put the Reinhart-Rogoff dataset to a formal econometric test by employing nonlinear threshold models. Overall, our estimation results indicate that the nonlinear relation from debt to growth is not very robust. Taken with a pinch of salt, our results suggest, however, that there may be a tipping point at around 20% of GDP, beyond which central government debt has a negative influence on growth. Further (and greater) thresholds may exist but their magnitude is highly uncertain. For general government debt (1960-2009), the threshold beyond which negative growth effects kick in is considerably higher at about 50%. Finally, individual country estimates reveal a large amount of cross-country heterogeneity. For some countries including the United States, a nonlinear negative link can be detected at about 30% of GDP. For others, the thresholds are surrounded by a great amount of uncertainty or no nonlinearities can be established. This instability may be a result of threshold effects changing over time within countries and depending on economic conditions, not captured in our estimations. Overall, our results can be seen as a formal econometric confirmation that the 90% public debt threshold is not in the data. But our results also seem to suggest that public debt might have a negative effect on economic performance kicking in at already fairly moderate public debt levels. Furthermore, the absence of threshold effects or low estimated thresholds may not preclude the emergence of further threshold effects, especially as public debt levels are rising to unprecedentedly high levels.
Classification-JEL
E6 ; F3 ; F4 ; N4
Mot(s) clé(s)
public debt; economic growth; nonlinearity; threshold effects
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2013-9 "Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box"

Balázs Egert, Rustam Jamilov

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Abstract
This paper analyses the interest rate pass-through for five economies of the Caucasus – Armenia, Azerbaijan, Georgia, Kazakhstan, and Russia. Employing an autoregressive distributed lag (ARDL) specification to monthly data, we find that the interest rate pass-through is systematically incomplete and sluggish, probably due to macroeconomic instability and low banking sector competition. It is not clear whether pass-through has improved over time and asymmetric adjustment is found to characterize the pass-through only occasionally. Overall, our results show a considerable degree of cross-country heterogeneity in the size and speed of the pass-through.
Classification-JEL
E43; E52; N25
Mot(s) clé(s)
Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus
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2013-10 "Dutch Disease in the Post-Soviet Countries of Central and South-West Asia: How Contagious is it?"

Balázs Egert

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Abstract
This study seeks to determine the extent to which the former communist states of Central and South-West Asia are “infected” by the Dutch Disease. We take a detailed look at the functioning of the transmission mechanism of the Dutch Disease, i.e. the chains that run from commodity prices to real output in manufacturing. We complement this with two econometric exercises. First, we estimate nominal and real exchange rate models to see whether commodity prices are correlated with the exchange rate. Second, we run growth equations to analyse the possible effects of commodity prices and the dependency of economic growth on natural resources.
Classification-JEL
E31; F31; O11; P17
Mot(s) clé(s)
Oil price Dutch Disease; Real exchange rate Natural resource; Economic growth
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2012-44 "Public debt, economic growth and nonlinear effects: Myth or reality?"

Balázs Egert

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Abstract
The economics profession seems to increasingly endorse the existence of a strongly negative nonlinear effect of public debt on economic growth. Reinhart and Rogoff (2010) were the first to point out that a public debt-to-GDP ratio higher than 90% of GDP is associated with considerably lower economic performance in advanced and emerging economies alike. A string of recent empirical papers broadly validates this threshold value. This paper seeks to contribute to this literature by putting a variant of the Reinhart-Rogoff dataset to a formal econometric testing. Using nonlinear threshold models, there is some evidence in favour of a negative nonlinear relationship between debt and growth. But these results are very sensitive to the time dimension and country coverage considered, data frequency (annual data vs. multi-year averages) and assumptions on the minimum number of observations required in each nonlinear regime. In addition, we also show that nonlinear effects can kick in at much lower levels of public debt (between 20% and 60% of GDP). These results, based on bivariate regressions on secular time series, are largely confirmed on a shorter dataset (1960-2010) when using a multivariate growth framework that accounts for traditional drivers of long-term economic growth and model uncertainty. Nonlinear effects might be more complex and difficult to model than previously thought. Instability might be a result of nonlinear effects changing over time, across countries and economic conditions. Further research is certainly needed to fully understand the link between public debt and growth.
Classification-JEL
E6, F3, F4, N4
Mot(s) clé(s)
Public debt, economic growth, nonlinearity, threshold effects
File

2012-25 "The impact of changes in second pension pillars on public finances in Central and Eastern Europe"

Balázs Egert

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Abstract
This paper studies the impact of recent changes in second pension pillars of three Central and Eastern European Countries on the deficit and implicit debt of their full pension systems. The paper seeks to answer the following questions: i) what is the impact on the sustainability of Poland’s pension system of the decrease in the pension contribution going to the second pension pillar from 7.3% to 2.3% in 2011; ii) what are the implications of the recent changes on gross replacement rates; iii) does the weakening of the Polish second pension system have a different impact on pension system sustainability than a similar move in a Hungarian-style pension system with a defined-benefit first pillar and iv) how does Estonia’s temporary decrease in pension contributions compensated by temporarily higher future rates affect pension sustainability in that country. The simulation results show that in our baseline scenario the Polish move would permanently lower future pension-system debt, chiefly as a result of a cut in replacement rates. But using a combination of pessimistic assumptions including strong population ageing, low real wage growth and a high indexation of existing pension benefits, coupled with bringing in tax expenditures related to the third voluntary pension pillar and an increase in the share of minimum pensions leads to higher pension system deficits and eventually more public debt at a very long horizon. The simulations also suggest that the Hungarian pension reversal reduces deficit and debt only temporarily, mainly because of Hungary’s costly defined-benefit first pension pillar: the weakening of the second pillar is tantamount to swapping low current replacement rates (in the defined-contribution second pillar) against high future replacement rates in the defined-benefit first pension pillar. Finally, results show that the Estonian move will increase public debt only very moderately in the long run, even though this result is sensitive to the effective interest rate on public debt.
Classification-JEL
H55; J32
Mot(s) clé(s)
pension reversal; defined benefit; defined contribution; public finances; Central and Eastern Europe
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2012-20 "The impact of macro news and central bank communication on emerging European forex markets"

Balázs Egert, Evžen Kočenda

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Abstract
We analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. In doing so, we first estimate standard and extended versions of the monetary model to capture deviations from the long-term monetary equilibrium. In the second stage, we employ a high-frequency GARCH model that includes accurately identified macroeconomic news, central bank communication and emerging market risk and allows for non-linear behavior as regards the deviation from equilibrium. Surprisingly, there is little support for non-linearity in the data. During the pre-crisis period (2004–2007) the major CEE currencies generally respond to macroeconomic news in an intuitive manner that corresponds to exchange rate-related theories. During the crisis (2008–2009), the responsiveness breaks down and the currencies react to news on the key economic indicator (real GDP growth). There is a lack of responsiveness to central bank communications during the pre-crisis period but all currencies react to central bank verbal interventions during the crisis. Our results show that the CEE currencies react to both macroeconomic news and central bank communications but this responsiveness differs during the pre-crisis and crisis periods. Detailed responses vary across the currencies and we conjecture that the exchange rate regime and the extent to which particular currencies are traded on the international forex market are potential explanations behind these differences.
Classification-JEL
E31, F31, O11, P17
Mot(s) clé(s)
exchange rate; macroeconomic news; central bank communication; monetary model; Central Europe; European Union
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2012-18 "Nominal and Real Exchange Rate Models in South Africa: How Robust Are They?"

Balázs Egert

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Abstract
This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in this paper including the stock-flow approach and variants of the monetary model are not fully robust to data frequency and alternative estimation periods, either. Nevertheless, adding openness to the stock-flow approach and augmenting the monetary model with share prices and the country risk premium improves significantly the fit of the models around the large (nominal and real) depreciation episodes of 2002 and 2008. Interestingly, real commodity prices do not help explain the large depreciations. While these models do a reasonably good job in-sample, their out-of-sample forecasting properties remain poor.
Classification-JEL
E31, F31, O11, P17
Mot(s) clé(s)
exchange rate; real exchange rate; nominal exchange rate; commodity; Balassa-Samuelson; productivity; monetary model; stock-flow approach; openness; country risk
File

2012-16 "Labour Market Reforms and Outcomes in Estonia"

Zuzana Brixiova, Balázs Egert

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Abstract
The unemployment rate in Estonia rose sharply in 2010 to one of the highest levels in the EU, after the country entered a severe recession in 2008. While the rate declined relatively rapidly in 2011, it remained high especially for the less educated. In 2009, the Employment Contract Law relaxed employment protection legislation and sought to raise income protection of the unemployed to facilitate transition from less to more productive jobs while mitigating social costs. Utilizing a search model, this paper shows that increasing further labour market flexibility through reducing the tax wedge on labour would facilitate the structural transformation and reduce the long-term unemployment rate. Linking increases in unemployment benefits to participation in job search or training programmes would improve the unemployed workers' incentives to search for jobs or retrain and the medium term labour market outcomes. Social protection schemes for the unemployed should be also strengthened as initially intended to give the unemployed sufficient time to search for adequate jobs or retrain for new opportunities.
Classification-JEL
J08 J64 E24
Mot(s) clé(s)
Labour market reforms; search model; Estonia; OECD countries
File

2012-15 "The nature of financial and real business cycles: The great moderation and banking sector pro cyclicality"

Balázs Egert, Douglas Sutherland

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Abstract
This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of these parameters during expansions and contractions. It then studies the degree of economic and financial cycle synchronisation between OECD countries but also of economic and financial variables within a given country, and gauges the extent to which cycle synchronisation changed over time. Finally, the paper provides some new evidence on the drivers of the great moderation and analyses the banking sector's pro-cyclicality by using aggregate and bank-level data. The main findings show that the amplitude of the real business cycle was becoming smaller during the great moderation, but asset price cycles were becoming more volatile. In part this was linked to developments in the banking sector which tended to accentuate pro-cyclical behaviour.
Classification-JEL
E32; E44
Mot(s) clé(s)
real business cycles, financial cycles, great moderation, banking system, financial markets
File

2012-12 "Fiscal Policy Reaction to the Cycle in the OECD: Pro- or Counter-cyclical?"

Balázs Egert

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Abstract
This paper analyses the reaction of fiscal policy to the cycle in OECD countries. The results suggest that while overall government balances were counter-cyclical in the past and more so in economic downturns than in upswings, discretionary fiscal policy was neutral on average. However, discretionary fiscal policy appears to react to the cycle in a non-linear fashion: fiscal policy in countries with high public debt and high government deficits tends to be pro-cyclical, while countries that have low public debt and that have surpluses are more likely to conduct a counter-cyclical fiscal policy. The paper also finds that asset prices have a significant impact on government balances.
Classification-JEL
E32 E62 H30 H60 C33
Mot(s) clé(s)
Fiscal policy, pro-cyclicality, counter-cyclicality, OECD countries
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