Photo Balázs Egert

BALÁZS EGERT

MAÎTRE DE CONFÉRENCES AVEC HDR

Thèmes de recherche

  • arrow_right Economie internationale
  • arrow_right Macroéconomie
  • arrow_right Economie du travail

Axe de recherche

    Macroéconomie internationale, finance, matières premières et économétrie financière

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2021-1

Walking the tightrope: avoiding a lockdown while containing the virus

Balázs Egert, Yvan Guillemette, Fabrice Murtin, David Turner

VOIR TÉLÉCHARGER
Résumé
Les travaux empiriques décrits dans cet article expliquent l'évolution quotidienne du taux de reproduction, R, et de la mobilité pour un large échantillon de pays, en fonction des politiques de restriction du mouvement et de santé publique. Ceci dans le but de donner un aperçu de la politique appropriée alors que les pays se préparent à une période potentiellement prolongée caractérisée par de nouvelles vagues d'infection. Si un ensemble complet de mesures de restriction peut être nécessaire lorsque le virus est répandu et peut avoir un effet important sur la réduction de R, ils ont également un effet sur la mobilité et, par extension, l'activité économique. Un vaste ensemble de politiques de santé publique - avec un accent sur les tests à grande échelle, le traçage et l'isolement, mais aussi le port du masque et les politiques destinées aux groupes vulnérables, en particulier ceux des maisons de retraite - offrent la meilleure approche pour éviter un verrouillage complet de l’économie tout en contenir la propagation du virus. Ces politiques peuvent cependant devoir être complétées par des mesures de restriction de mouvement sélectives (telles que la restriction des grands événements publics et des voyages internationaux ou des confinements localisés) à la fois pour contenir les flambées locales et parce que la mise en œuvre de certaines des politiques de santé publique recommandées peut être difficile ou engendrer des coûts sociaux inacceptables.
Mot(s) clé(s)
Covid-19, confinement, interventions non pharmaceutiques, mobilité
2021-3

The policy drivers of self-employment: New evidence from Europe

Mark Baker, Balázs Egert, Gábor Fülöp, Annabelle Mourougane

VOIR TÉLÉCHARGER
Résumé
En utilisant des régressions des données de panels temps-pays au cours des deux dernières décennies, ce document cherche à identifier les principaux facteurs politiques et
institutionnels qui expliquent la part du travail indépendant dans les pays européens. Il examine la part des travailleurs indépendants ainsi que sa répartition par âge, compétence
et sexe. La générosité des prestations de chômage et, dans une moindre mesure, les dépenses consacrées aux politiques actives du marché du travail pour les chômeurs se
révèlent être de solides déterminants de la part à long terme des travailleurs indépendants dans les pays européens. Aucune relation significative n'a été établie entre la rigueur de la
protection de l'emploi pour les travailleurs permanents. Cependant, il existe des impacts significatifs, et de signes opposés, sur les travailleurs indépendants hautement et faiblement
qualifiés. Le coin fiscal et le salaire minimum semblent être liés positivement à la part des travailleurs indépendants à long terme, mais la relation s'applique uniquement à certaines
catégories de travailleurs.
Mot(s) clé(s)
travail indépendant, marché du travail, OCDE
2018-26

The Nonlinear Relationship between Economic growth and Financial Development

Balázs Egert, Fredj Jawadi

VOIR TÉLÉCHARGER
Résumé
Ce papier étudie la relation non-linéaire entre la croissance économique et le développement financier pour un échantillon large de pays développés et émergents. En utilisant des techniques récentes d'économétrie non-linéaire, nos résultats ne confirment pas l'hypothèse selon laquelle un excès de finance pourrait affecter négativement la croissance économique. Par ailleurs, il est clair qu'au-delà d'un certain seuil, l'effet du développement financier sur l'économie réel serait moindre. En outre, les systèmes bancaires et les marchés financiers apparaissent comme complémentaires pour soutenir l'économie réelle.
Mot(s) clé(s)
Développement financier, croissance économiques, non-linéarité, effet seuil.
2018-19

The quantification of structural reforms: extending the framework to emerging market economies

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
Le présent document procède à une évaluation et à une quantification de l’impact des réformes des réformes structurelles sur le revenu par habitant pour un large éventail de pays membres et non membres de l’OCDE. Il ressort des conclusions de cette étude que la qualité des institutions influe grandement sur les résultats économiques. Des règlements plus propices à la concurrence, tels que mesurés par les indicateurs de réglementation des marchés de produits (RMP) de l’OCDE, améliorent les résultats économiques. L’abaissement des obstacles aux échanges avec l’étranger et à l’investissement a un effet positif sur la PMF. La réduction des obstacles à l’entrée et la moindre omniprésence du contrôle exercé par l’État sur les activités des entreprises dynamisent le stock de capital et le taux d’emploi. Aucun lien robuste n’a pu être établi entre réglementation du marché du travail, PMF et augmentation de l’intensité capitalistique. Cependant, on constate qu’une réglementation du marché moins stricte va de pair avec des taux d’emploi plus élevés. L’étude montre que l’impact de l’action publique diffère selon le niveau de développement économique des pays. En outre, les effets de la RMP dépendent du niveau de réglementation du marché du travail.
Mot(s) clé(s)
réformes structurelles, marchés des produits, marchés du travail, réglementation, institutions, simulation, productivité multifactorielle, investissement, emploi, revenu par habitant, OCDE, économies de marché émergentes, pays en développement
2018-20

Aggregate multi-factor productivity: measurement issues in OECD countries

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
Le présent document examine, pour 34 pays de l’OCDE, dans quelle mesure le calcul de la productivité globale des facteurs (PGF) est sensible au choix de tel ou tel paramètre. Le point de départ est la définition de la PGF retenue dans des travaux précédents du Département des affaires économiques de l’OCDE (par exemple Johansson et al., 2013). L’analyse porte sur différentes mesures de la PGF, dans lesquelles le capital humain est soit inclus soit exclu, avec différentes mesures des taux de change à parité de pouvoir d’achat (PPA), utilisant des taux d’amortissement du capital variables dans le temps et différentes mesures du stock de capital et du facteur travail (nombre de travailleurs/heures travaillées). Ce qui ressort principalement de cette étude, c’est que le niveau et la dynamique de la PGF varient substantiellement en fonction du choix d’inclure ou non le capital humain dans la PGF. En revanche, les mesures de la PGF sont moins sensibles à d’autres paramètres de calcul.
Mot(s) clé(s)
productivité globale des facteurs, mesure, capital humain, OCDE
2017-18

The Impact Of Regulations And Institutions On Multi-Factor Productivity: New Evidence From Macroeconomic Estimates

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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).
Mot(s) clé(s)
multi-factor productivity, trade openness, innovation, product market regulation, labour market regulation, institutions, policy interactions, OECD
2017-17

Regulation, Institutions and Productivity: New Macroeconomic Evidence From OECD Countries

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
aggregate investment, capital deepening, structural policy, product market regulation, labour market regulation, poliy interaction, OECD
2017-15

The Quantification of Structural Reforms in OECD countries: A New Framework

Balázs Egert, Peter Gal

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
structural reforms, product markets, labour markets, regulation, simulation, multi-factor productivity, investment, employment, per capita impact, OECD
2013-23

The 90% public debt threshold: The rise and fall of a stylised fact

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
public debt; economic growth; nonlinearity; threshold effects
2013-9

Interest Rate Pass-Through and Monetary Policy Asymmetry: A Journey into the Caucasian Black Box

Balázs Egert, Rustam Jamilov

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
Interest Rate Pass-Through; Asymmetric Adjustment; Caucasus
2013-10

Dutch Disease in the Post-Soviet Countries of Central and South-West Asia: How Contagious is it?

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
Oil price Dutch Disease; Real exchange rate Natural resource; Economic growth
2012-44

Public debt, economic growth and nonlinear effects: Myth or reality?

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
Public debt, economic growth, nonlinearity, threshold effects
2012-25

The impact of changes in second pension pillars on public finances in Central and Eastern Europe

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
pension reversal; defined benefit; defined contribution; public finances; Central and Eastern Europe
2012-20

The impact of macro news and central bank communication on emerging European forex markets

Balázs Egert, Evžen Kočenda

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
exchange rate; macroeconomic news; central bank communication; monetary model; Central Europe; European Union
2012-18

Nominal and Real Exchange Rate Models in South Africa: How Robust Are They?

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
exchange rate; real exchange rate; nominal exchange rate; commodity; Balassa-Samuelson; productivity; monetary model; stock-flow approach; openness; country risk
2012-16

Labour Market Reforms and Outcomes in Estonia

Zuzana Brixiova, Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
Labour market reforms; search model; Estonia; OECD countries
2012-15

The nature of financial and real business cycles: The great moderation and banking sector pro cyclicality

Balázs Egert, Douglas Sutherland

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
real business cycles, financial cycles, great moderation, banking system, financial markets
2012-12

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

Balázs Egert

VOIR TÉLÉCHARGER
Résumé
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.
Mot(s) clé(s)
Fiscal policy, pro-cyclicality, counter-cyclicality, OECD countries
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