Prices and output co-movements: an empirical investigation for the CEECs

This article studies the features of co-movements of prices and production between six CEECs recently joined the EU and the euro zone. More precisely, based partially on the methodology suggested by Alesina, Barro and Tenreyro [2002], we evaluate the size and the persistence of prices and outputs shocks between each CEECs and euro zone. Results will contribute to the debate around the participation of the new members to the EMU. Key-words: European monetary integration, co-movements, AR models, CEECs Résumé: Cet article étudie les particularités des co-mouvements des prix et production entre d’une part, six PECO récemment intégrés dans l’UE et d’autre part, la zone euro. Plus précisément, à l’aide d’une méthodologie suggérée par les travaux d’Alesina, Barro et Tenreyro (2002), nous évaluons la taille et la persistance des chocs des prix et production entre les PECO et la zone euro. Nos résultats tentent de contribuer aux débats sur la participation des nouveaux entrants dans l’union monétaire européenne. Mots-clés: Integration monétaire européenne, co-mouvements, modèles AR, PECO JEL Classification : C22, E30, F33, F42, F47. We are grateful for suggestions from Peter Howitt, Mathilde Maurel and Sandra Poncet as well as seminar participants at University of Paris 1 comming from TEAM and ROSES, conference organizers and participants of the Jerusalem Summer School in Economic Growth, 5th EUROFRAME Conference on Economic Policy Issues in the European Union, Monetary and Financial Transformations in the CEECs, Journées de l’AFSE: Développement récents en Economie Financière, aspects microéconomiques et macroéconomiques, Reaserch in International Economics and Finance, Vth International Seminar of the Young Phd Students in Economic Integration and Exchange rate econometrics. The errors and omissions which could remain are of course of our only responsability. ϯ Chercheur Associé au Centre d’Economie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne, 106112, Bd. de l'Hôpital, Paris 75013, France. Email: [email protected]. ha ls hs -0 03 35 02 5, v er si on 1 28 O ct 2 00 8