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

42018, XXI, 4 Ekonomie DOI: 10.15240/ ul/001/2018-4-001 In oduc ion Sympa he ic mo emen be ween he nominal in e es a e on long- e m go e nmen bonds and he p ice le el i s obse ed by Gibson (1923) emains an open academic deba e. Academic deba es on Gibson pa adox ange om being no hing mo e han a spu ious s a is ical ela ion o a ac s ongly dispu ing s anda d mic o and mac oeconomic heo y. The deba e oday is e i ed in a pe iod o his o ic low-in e es a es and de l a ion in many wo ld economies. Keynes (1930/2011) speaks o he obse ed ela ion as he mos comple ely es ablished empi ical ac in economics. Economic laws backed by empi ical ac s a e a e in he science o economics. F om s udying he Gibson pa adox policy make s and academics can y o explain p esen awkwa d in e es a es dynamics. The s ange in e es a es beha iou o oday is ollowed by equally peculia p ice le el dynamics. Quan i a i e easing mechanism oday s and as he las line o de ence agains damages o he 2008 c isis. Rela ing he C isis o 1929 o 2008 poin s o he FED beha iou on he ma e . O he s poin o he deepening c isis in he EU wi h Eu opean Cen al Bank (ECB) lagging behind he FED’s quan i a i e easing policy. Suppo e s o F iedman’s (1963/2008) explana ion o he G ea Dep ession o e he same emedies o he c isis o 2008. Howe e , he C isis o 2008 did no hi all he economies in he same way. Ge many and Poland in Eu ope s and as a ac . Ano he impo an aspec o conside when s udying he C isis o 2008 is he di e ence be ween ma ke and ansi ional economies. The same app oach is ollowed in his s udy by s udying he Gibson pa adox in ansi ional economies. S udies on he Gibson pa adox ocused on Wes e n economies. In es iga ing he Gibson pa adox in ansi ional economies can o e academics addi ional insigh in o he phenomenon. Answe ing he ques ion why he Gibson pa adox was obse ed in some economies and no in o he s could shed new ligh on he na u e o he pa adox. The ex ensi e li e a u e on he Gibson pa adox deals wi h wes e n economies when ying o explain his es ablished empi ical ac . Di e en heo ies we e o e ed o un a el he na u e o he phenomenon ha emains unanswe ed. Among he mos impo an heo ies a emp ing o un a el he pa adox a e classical in e es heo y, liquidi y p e e ence heo y, loanable unds heo y, a ional expec a ion heo y, Fishe /Keynes e ec , Ba sky-Summe e ec , and he Cogley-Sa gen -Su ico e ec . Pas esea ch on he pa adox has concen a ed on long ime se ies span o indi idual, g oup o wes e n economies. Consequen ly, an impo an insigh in o ansi ional economies (cen al eas e n Eu opean coun ies – CEE) is missing. Finding e idence o he exis ence o he pa adox in he CEE coun ies would mean ha owne ship and economy s uc u e a e no impo an elemen s in explaining he pa adox. Pas s udies concen a e jus on he money supply, mone a y policy, in l a ion, gold s anda d and p ices and o he mone a y phenomena. P o ing he exis ence o he pa adox in he CEE coun ies would open he deba e on he impo ance o eal economy ac o s in unde s anding he pa adox. Lack o esea ch on he Gibson pa adox in CEE coun ies makes i di i cul o p o e o disp o e Keynes’ (1930/2011) obse a ion o he pa adox as es ablished empi ical ac . Finding e idence o he pa adox in he CEE coun ies would o e new e idence in a ou o Keynes’s obse a ion. O he wise, i he pa adox canno be aced in CEE coun ies, hen his es ablished empi ical ac would be cons ained o only a se o coun ies, punching a hole in he Gibson’s (1923) heo y. EXPLORING THE GIBSON LAW IN CEE COUNTRIES USING A TIME SERIES APPROACH Ma inko Ška e, Daniel Tomić, Małgo za a Po ada-Rochoń EM_4_2018.indd 4EM_4_2018.indd 4 28.11.2018 13:12:3728.11.2018 13:12:37 5 4, XXI, 2018 Economics The pu pose o his pape is o con ibu e o he empi ical and heo e ical unde s anding o he Gibson pa adox by sea ching o he pa adox’s p esence in he CEE coun ies. This esea ch a emp s o o e new e idence on he hesis ha he pa adox is an es ablished empi ical ac by using he me hodology o Se le is and Zes os (1999) ha ollowed he wo k o Kydland and P esco (1977) on he da a o CEE coun ies. The li e a u e is almos silen on he na u e o he pa adox in ansi ional economies. To b oaden he body o li e a u e in economics on he na u e o he pa adox in CEE coun ies his pape uses da a on go e nmen bond nominal in e es a es and he p ice le el using uni oo and coin eg a ion echniques. Thus, he s udy ies o de e mine he p esence o he pa adox in ansi ional economies. The second objec i e is o analyse he impac o he common pa h o CEE coun ies on he pa adox, i.e. is he pa adox adi ional o ma ke economies o also o o me socialis economies ansi ioning o ma ke economies. Ano he impo an aspec o he s udy is he applica ion o mode n ime se ies echniques challenging he hesis o he pa adox being jus a spu ious s a is ical ela ionship. Resul s o his pape can assis u u e esea ch on de eloping a b oade ocus when esea ching he pa adox’s na u e. P ac ical implica ions o he s udy o he policy make consis o poin ing o he possible connec ion be ween oday’s’ his o ically low-in e es a es and he pa adox. The emainde o he a icle is s uc u ed as ollows. Sec ion 1 o e s a body o li e a u e pe spec i e on he pa adox while sec ion 2 shows me hodology and da a used in he analysis. Chap e 3 p esen s ime se ies echniques and da a used o he analysis. The las sec ion p o ides a summa y o he uni oo es ing and coin eg a ion analysis esul s on da a o nominal long- e m in e es a es and he p ice le el. The pape concludes wi h a summa y o he empi ical ou comes o he s udy and di ec ions o u u e esea ch on he Gibson pa adox. 1. Li e a u e Re iew Gibson (1923) no iced a s ong posi i e co ela ion be ween mo emen s in long- e m in e es a es (yield) on B i ish Consols and p ice le el (wholesale p ice index) om 1820- 1922. A so-called sympa he ic mo emen be ween in e es a es and p ices s a ed a s ong deba e in he body o li e a u e. E en Keynes (1930/2011) was no success ul in explaining he obse ed mo emen s, naming his ‘mos es ablished empi ical ac as he Gibson pa adox’. Gibson (1923) explains he obse ed dynamics by s a ing ha long- e m in e es a es (yield on go e nmen bonds) a e posi i ely a ec ed (caused) by an inc ease in he p ice le el. Keynes (1930/2011) emained silen on he issue ha obse ed dynamics exis s be ween yields and p ices bu wi h no co ela ion p esen be ween yields and in l a ion. Wicksell (1936), using he idea o a na u al in e es a e explain ha changes in in e es a es a e caused by a misma ch be ween money and na u al in e es a e le el. Clay on e al. (1971), using he no ion o eal in e es a es, y o unde mine he obse ed empi ical mo emen s making a clea dis inc ion be ween nominal and eal in e es a es’ connec ion o he p ice le el. Fishe (1930) explains he dynamics o he pa adox by in oducing in l a ion expec a ions in he equa ion, poin ing o he lag be ween p ice changes and in l a ion expec a ions. Howe e , in l a ion expec a ions appea o be highly pe sis en (Misz al, 2017). Empi ical suppo o Gibson pa adox was ound by Ozdemi and Yildi im (2018) and Ška e and Benazic (2015) and Tan io e and Yamak (2015). Thei s udy i nds ou ha he cou se o he long- e m ela ionship be ween p ice le el and in e es a e is om nominal in e es a e o he p ice le el. Global liquidi y dynamics also a ec bond yields’ ola ili y, pa icula ly in ime o dis ess, ha ing an impac on p ices (Belke, 2016). Ano he aspec o conside when s udying he pa adox is he in e connec ion be ween i nancial ma ke s (Vychy ilo á, 2015). Vola ili ies among impo an s ock ma ke s could also in l uence he ela ionship be ween bond yields and p ices (Ahmad e al., 2016). Mic oeconomic aspec s a e an impo an igge o he pa adox (Ška e & Mošnja-Ška e, 2014). The lag expec a ion dynamic was la e challenged by Cagan (1965), F iedman and Schwa z (1963/2008). Co ela ion be ween he p ice o gold and he gene al p ice le el in gold egimes could, in ac , be a la en a iable causing he obse ed sympa he ic mo emen be ween yield and p ices as s udied in Ba sky and Summe (1988). Shille and Siegel (1977), ollowing he heo y o unan icipa ed p ice changes, a gue ha weal h EM_4_2018.indd 5EM_4_2018.indd 5 28.11.2018 13:12:3728.11.2018 13:12:37 62018, XXI, 4 Ekonomie e ec s edis ibu ion o nominal asse s in u n causes he obse ed co ela ion be ween yield and p ice le el. Empi ical s udies challenge he obse ed co ela ion be ween yield and p ices as spu ious and s a is ically misleading as esea ched in Dwye (1984), Co bae and Oulia is (1989). O he empi ical esea ch o Klein (1975), Musca elli and Spinelli (1996) o e e idence o a weak co ela ion be ween yield and p ice le el. Vola ili y o yields on in e connec ed i nancial ma ke s has a s ong impac on he bond yield sp eads (He yán & Ziegelbaue , 2016). Se le is and Zes os (1999) s udied he phenomena and i nd no e idence o coin eg a ion be ween in e es a es and he p ice le el, cas ing doub on he ounda ion o his empi ical ac as poin ed by Gibson and la e by Keynes. Ano he line o s udies is he one connec ing changes in mone a y policy wi h he Gibson pa adox in he USA as s udied in Cogley e al. (2011). Also s udy on U.S. da a was done by Casa es and Vazquez (2018) and hey poin ed ou ha in ecen business cycles, U.S. in l a ion has expe ienced a educ ion o ola ili y and a se e e weakening in he co ela ion o he nominal in e es a e (Gibson pa adox). The i ndings poin a a l a e New Keynesian Phillips Cu e (highe p ice s ickiness) and a lowe pe sis ence o ma kup shocks as he main explana o y ac o s. In addi ion, a highe in e es - a e elas ici y o money demand, an inc easing ole o demand- side shocks, and a less sys ema ic beha io o Fed’s mone a y policy also accoun o he ecen pa e ns o U.S. in l a ion dynamics. Lowe in e es a es appea o be associa ed wi h expansion o ma gin ading (Cho anco a & A endas, 2015). Financial beha iou ac o s also appea o be closely connec ed wi h he i nancial asse alloca ion on he i nancial ma ke s and e ec s on easu y bond yields (Kushni o ich, 2016). In e es a e dynamics a e highly in l uenced by mac oeconomic and i scal policy ac o s as he s udy o Temu e al. (2017) shows. The same ela ionship holds o Romania acco ding o he esul s om he s udy Simionescu e al. (2017). Cheng e al. 2013 con i m Gibson pa adox o China du ing China’s sil e -co ed me allic s anda d e a (1873-1924). They a gue ha he Gibson co ela ion is mo e accu a ely classi i ed as a s a is ical a i ac o commodi y money sys ems, wi h he gold s anda d me ely ep esen ing one such sys em. 2. Me hodology and Da a To es he Gibson pa adox wi hin Eu opean ansi ion coun ies, we applied he me hod used by Se le is and Zes os (1999) ha ollowed he wo k o Kydland and P esco (1977) as hey calcula ed cyclical nominal in e es a e – p ice le el co ela ions. Simila o hem, we will ex ac cyclical componen s using he Hod ick-P esco (HP) i l e and hen ela e c oss-co ela ion be ween he p ice le el and in e es a es o each coun y alone. Fu he mo e, we will es in eg a ion and coin eg a ion p ope ies o he da a o e alua e me hodological possibili ies o he es ima ion o he Gibson pa adox. The popula i y o he HP i l e o de end a ime se ies is ce ainly due o he ac i is easy o es ima e and o comp ehend. Hod ick and P esco (1997) analysis was based on he assump ion ha ime se ies consis o cyclical and g ow h componen s, so i g ow h accoun ing can p o ide es ima es o g ow h componen s o e o s ha a e small ela i e o he cyclical componen , compu ing he cyclical componen is jus a ma e o calcula ing he di e ence be ween he obse ed alue and he g ow h componen . I esul ed in he c ea ion o he i l e ha became he s anda d me hod o emo ing long un mo emen s om he ime se ies in he business cycle li e a u e. The HP i l e ocuses on emo ing a smoo h end τ om some gi en da a y by sol ing nex equa ion: (1) so he esidual y − τ is hen commonly e e ed o as he business cycle componen . A linea i l e ha equi es he p e ious speci i ca ion o a pa ame e known as lambda (λ). Gi ing he o m o he obse a ion (annually, qua e ly o mon hly) his pa ame e unes he smoo hness o he end i.e. penalises he accele a ion in he end componen ela i e o he cycle componen . Many poin s ha he pa ame e λ does no ha e an in ui i e in e p e a ion o he use and ha i s choice is o conside he main weakness o he HP i l e . Non- he-less, HP i l e has been applied in some ele an s udies as in De A changelis and Di Gio gio (2001), Se le is and Zes os (1999), F anke (2006). To measu e he deg ee o co-mo emen s o he se ies we will es ima e con empo aneous co-mo emen s i.e. co ela ion coe i cien as EM_4_2018.indd 6EM_4_2018.indd 6 28.11.2018 13:12:3728.11.2018 13:12:37 7 4, XXI, 2018 Economics well as c oss-co ela ions o e ime, indica ing whe he he a iables lead, lag o coincide one ano he . We measu e he co ela ion be ween x and y +k, whe e x is he i l e ed se ies, and y +k is he k-qua e lead o he main a iable. A subs an ial posi i e co ela ion a k = 0 (i.e. a ound lag ze o) indica es he p o-cyclical beha iou o he se ies; a high nega i e co ela ion a k = 0 indica es coun e -cyclical beha iou , and no co ela ion indica es he acyclical conduc o he se ies. A maximum co ela ion a , o example, k = -1 indica es ha he cyclical componen o he a iable ends o lag he main a iable by one-qua e . In o he wo ds, i he absolu e maximum (o minimum) is achie ed a he speci i c a iable lead, hen he a iable is deno ed as leading, whe eas i is called lagging in he opposi e case. The concep o lags/leads is usually used o desc ibe phase ela ions be ween he a iables in he ime domain. Speci i cally, i is a no ion o a lag in he ime domain as a ‘pu e delay’ in a ela ionship. Finally, coinciden a iables a e hose displaying he bulk o hei c oss- co ela ion wi h he main a iable a lag ze o. To es he in eg a ion p ope ies, we will analyse g aphical displays o he a iables and apply wo uni oo es s: he Augmen ed Dickey-Fulle es – ADF (1979) and he Phillips-Pe on es – PP (1988). I we i nd ha he p ice le el and in e es a es o long- e m bonds a e in eg a ed o he same o de , i.e. o o de one, hen we a e also able o es i hey a e coin eg a ed as well and o es he possible exis ence o he Gibson pa adox. I hey a e in eg a ed o di e en o de s, hen es ing he Gibson pa adox in coin eg a ion ashion would be misleading. Qua e ly da a o he p ice le el (P) – CPI (2010 = 100) and nominal in e es a e o long- e m go e nmen bond yields (R) we e collec ed om In e na ional Financial S a is ics o IMF o each o 13 ansi ional coun ies o he pe iod selec i ely anging om 1993Q1- 2014Q2 (di e en imes a e e alua ed due o da a a ailabili y whe eas some da a needed o be in e pola ed). The coun ies a e A menia (ARM: 2000Q1-2014Q2), Bulga ia (BGR: 1993Q1-2014Q2), Czech Republic (CZE: 2000Q2-2014Q2), Es onia (EST: 1997Q2- 2010Q4), Hunga y (HUN: 2001Q1-2014Q2), La ia (LVA: 2001Q1-2014Q2), Li huania (LTU: 2001Q1-2014Q2), Moldo a (MDA: 2005Q2-2014Q2), Poland (POL: 2001Q1- 2014Q2), Romania (ROM: 2005Q2-2014Q2), Russian Fede a ion (RUS: 2005Q2-2011Q1), Slo enia (SVN: 2002Q2-2014Q2) and Slo ak Republic (SVK: 2000Q3-2014Q2) . A p oblem in es ima ion could a ise om ela i ely sho ime se ies. Da a we e seasonally adjus ed using he Census X12 seasonal adjus men p ocedu e, and hen p ice le el a iables we e ans o med o hei loga i hmic o m. To ex ac he business cycle componen ha p esen s he s a iona y cycle o he a iable, we used a smoo hing pa ame e λ o 1,600 which is he s anda d alue o qua e ly equencies. 3. Gibson Law in CEE Coun ies – Empi ical Resul s Be o e we ge o any conclusion, we ha e o be e y s ic by saying ha his analysis comp ises a limi ed ime span and maybe some deduc ions will no be an app op ia e desc ip ion o he long- un ela ionship. Tab. 1 p esen s ex ac ed cyclical componen s o bo h he loga i hm o he p ice le el (log P) and he nominal in e es a e on go e nmen bonds (R), whe eas we simply comple ed c oss-co ela ions wi h lags/ leads be ween R and selec ed a iable log P. In addi ion o cu en co ela ion coe i cien s ( -0), lag/lead analysis was also in oduced in o de o de e mine i a iable log P lag, lead o coincide wi h he l uc ua ions in R. Tab. 2 displays au oco ela ions (ACF; pe sis ence analysis) sugges ing ha all a iables a e pe sis en in a phase o a cycle o a leas 2 o 3 pe iods. I means ha a iables l uc ua e pe sis en ly and s abilise wi hin a ce ain pe iod, indica ing ha we can obse e hei l uc ua ions and compa e hem. In gene al, esul s e eal weak con empo aneous co ela ions be ween he R and log P o all coun ies. The addi ional p oblem could be seen in he ime pe spec i e o c oss-co ela ions which sugges a weak co ela ion wi h log P lagging R in A menia, Bulga ia, Es onia, La ia, Li huania, Moldo a, Russia and Slo akia and, on he o he hand, leading R in Czech Republic, Hunga y, Poland and Slo enia. Romanian da a show no co ela ion a all. G aphical displays (see Figs. 1 and 2) o he a iables ac oss he coun ies indica e ce ain co-mo emen s be ween he obse ed a iables and log P ends o lag R. In mos o he coun ies we can no ice p o-cyclical beha iou o log P and R, as well as he weak co ela ion be ween hei cyclical componen s, cas some doub on EM_4_2018.indd 7EM_4_2018.indd 7 28.11.2018 13:12:3728.11.2018 13:12:37 82018, XXI, 4 Ekonomie Va iables C oss-co ela ion o log P o R (Co (x , y +k)) -5 -4 -3 -2 -1 0 +1 +2 +3 +4 +5 ARMENIA -0.13 -0.29** -0.37*** -0.35*** -0.20 -0.14 -0.07 0.02 0.07 0.10 0.12 BULGARIA 0.06 -0.09 -0.27* -0.47*** -0.66*** -0.75*** -0.59*** -0.33*** -0.05 0.05 0.07 CZECH REP. -0.07 -0.04 0.00 0.13 0.28** 0.43*** 0.52*** 0.52*** 0.49*** 0.41*** 0.31** ESTONIA 0.12 0.29** 0.42*** 0.48*** 0.51*** 0.43*** 0.35*** 0.25* 0.12 -0.02 -0.10 HUNGARY 0.09 0.10 0.08 0.09 0.18 0.35** 0.44*** 0.42*** 0.29** 0.16 -0.01 LATVIA 0.80*** 0.82*** 0.75*** 0.59*** 0.40*** 0.20 0.03 -0.10 -0.16 -0.19 -0.18 LITHUANIA 0.39*** 0.56*** 0.67*** 0.66*** 0.57*** 0.43*** 0.24* 0.08 -0.03 -0.10 -0.12 MOLDOVA -0.02 0.29* 0.56*** 0.76*** 0.84*** 0.70*** 0.45*** 0.24 0.07 -0.08 -0.18 POLAND -0.40*** -0.37*** -0.23* 0.03 0.33** 0.59*** 0.67*** 0.68*** 0.62*** 0.46*** 0.25* ROMANIA -0.05 0.03 0.13 0.24 0.28* 0.24 0.12 0.06 0.03 0.20 0.36** RUSSIAN FED. -0.03 0.19 0.37* 0.55*** 0.63*** 0.57*** 0.41** 0.21 0.09 -0.01 -0.06 SLOVENIA -0.42*** -0.29** -0.12 0.03 0.21 0.43*** 0.48*** 0.50*** 0.53*** 0.57*** 0.49*** SLOVAK REP. -0.27** -0.03 0.21 0.34** 0.37*** 0.33** 0.15 -0.01 -0.14 -0.25* -0.32** Sou ce: Au ho s’ calcula ion No e: “*”, “**“, “***” deno e 1%, 5% and 10% le el o signi i cance Va iables +1 +2 +3 +4 +5 ARMENIA (log P) 0.47*** 0.18* 0.02 -0.02 -0.14 ARMENIA (R) 0.67*** 0.42*** 0.16 0.08 0.05 BULGARIA (log P) 0.86*** 0.63*** 0.35*** 0.08 -0.13 BULGARIA (R) 0.67*** 0.15 -0.18 -0.18* -0.03 CZECH REP. (log P) 0.84*** 0.61*** 0.33*** 0.07 -0.10 CZECH REP. (R) 0.68*** 0.39*** 0.15 -0.12 -0.18 ESTONIA (log P) 0.77*** 0.50*** 0.31*** 0.20* 0.10 ESTONIA (R) 0.71*** 0.57*** 0.37*** 0.17 0.10 HUNGARY (log P) 0.88*** 0.70*** 0.49*** 0.28*** 0.10 HUNGARY (R) 0.75*** 0.37*** -0.04 -0.31** -0.42*** LATVIA (log P) 0.79*** 0.61*** 0.46*** 0.32*** 0.18 LATVIA (R) 0.89*** 0.71*** 0.48*** 0.20 -0.03 LITHUANIA (log P) 0.78*** 0.60*** 0.44*** 0.28*** 0.15 LITHUANIA (R) 0.80*** 0.46*** 0.09 -0.20 -0.28** MOLDOVA (log P) 0.80*** 0.60*** 0.37*** 0.14 -0.05 MOLDOVA (R) 0.79*** 0.50*** 0.23 -0.11 -0.31* POLAND (log P) 0.80*** 0.59*** 0.37*** 0.15 0.05 Tab. 1: Cyclical co ela ions o log P wi h R Tab. 2: Au oco ela ions (ACF) – (pe sis ence analysis) (Pa 1) EM_4_2018.indd 8EM_4_2018.indd 8 28.11.2018 13:12:3728.11.2018 13:12:37 9 4, XXI, 2018 Economics he exis ence o he long- un ela ionship i.e. he Gibson pa adox in he ansi ional coun ies. To es such a s a emen , he nex s ep is o analyse he in eg a ion p ope ies o he da a. The basic idea behind his s ep is o i nd ou whe he cyclical componen s o log P and R a e in eg a ed o he same o de which will esol e he ques ion o hei coin eg a ion p ope ies; wo se ies ha a e indi idually in eg a ed o di e en o de s canno be coin eg a ed. Fo his pu pose, we used he ADF and PP uni oo es s (Tab. 3) including ‘wi h’ and ‘wi hou ’ end e sions. Following he esul s o uni oo es s, he agg ega e conclusion would be ha he Gibson pa adox canno be es ed because selec ed a iables ac oss all he coun ies seem o be in eg a ed o di e en o de s. Namely, in 10 o he 13 coun ies (Bulga ia, Czech Republic, Es onia, Hunga y, La ia, Li huania, Moldo a, Romania, Russian Fede a ion and Slo enia) ei he log P o R is in eg a ed o o de one – I(1) meaning ha hey canno es ablish a linea combina ion ha is i sel s a iona y. Though we i nd some possible excep ions wi hin uni oo es s o he Czech Republic, Es onia and Slo enia in ‘wi hou ’ end e sion o he a iable R (possible I(1) a iables), g aphical displays o he a iables clea ly sugges ha log P and R do no mo e in he same manne . The emaining h ee coun ies (A menia, Poland and he Slo ak Republic) display alues ha lead o he conclusion ha selec ed a iables a e s a iona y a hei le els – I(0), hence hey also canno be comp ehended wi hin coin eg a ion p ocedu e. Again, i we ollow g aphical depic ions, we can no ice ha o hese coun ies a iable log P could be e alua ed as non-s a iona y in le els ye be in eg a ed o o de one. Acco dingly, we can conclude ha a iables log P, and R a e de ac o in eg a ed o a di e en o de o mos i no all Eu opean ansi ional coun ies, he e o e hey canno be es ed o coin eg a ion ( he Gibson Law does no hold). Empi ical esul s show ha he Gibson pa adox is ambiguous, which means ha sa is ying he non-s a iona i y condi ions is no a s ong p oo ha i does no exis . Howe e , i ce ainly sugges s ha o ansi ional coun ies in a selec ed ime pe spec i e we ha e e e y a gumen o he ejec ion o he pa adox. None heless, a ew ac s should be b ough up in conclusion. E en hough we ound weak co ela ion coe i cien s and no iced he p o- cyclical beha iou o bo h log P and R, we mus no o e look ha g aphical exp ession indica es some co-mo emen s be ween he a iables, log P ends o lag R and ha we analysed a ela i ely sho ime span. Thus, a longe ime pe spec i e could clea ha doub . Va iables +1 +2 +3 +4 +5 POLAND (R) 0.80*** 0.47*** 0.11 -0.20 -0.38*** ROMANIA (log P) 0.82*** 0.56*** 0.26** -0.03 -0.25** ROMANIA (R) 0.71*** 0.38** 0.05 -0.15 -0.25 RUSSIAN FED. (log P) 0.77*** 0.54*** 0.31*** 0.08 -0.16 RUSSIAN FED. (R) 0.70*** 0.33* 0.01 -0.28 -0.40** SLOVENIA (log P) 0.75*** 0.50*** 0.25** 0.04 -0.09 SLOVENIA (R) 0.68*** 0.38*** 0.26* 0.17 0.01 SLOVAK REP. (log P) 0.80*** 0.58*** 0.29*** 0.03 -0.18 SLOVAK REP. (R) 0.75*** 0.44*** 0.13 -0.15 -0.31** Sou ce: Au ho s’ calcula ion No e: “*”, “**“, “***” deno e 1%, 5% and 10% le el o signi i cance Tab. 2: Au oco ela ions (ACF) – (pe sis ence analysis) (Pa 2) EM_4_2018.indd 9EM_4_2018.indd 9 28.11.2018 13:12:3728.11.2018 13:12:37 10 2018, XXI, 4 Ekonomie Fig. 1: Mo emen s in he log P and R; cyclical componen s (Pa 1) Sou ce: Au ho s’ calcula ion EM_4_2018.indd 10EM_4_2018.indd 10 28.11.2018 13:12:3828.11.2018 13:12:38 11 4, XXI, 2018 Economics Fig. 1: Mo emen s in he log P and R; cyclical componen s (Pa 2) Sou ce: Au ho s’ calcula ion EM_4_2018.indd 11EM_4_2018.indd 11 28.11.2018 13:12:3828.11.2018 13:12:38 12 2018, XXI, 4 Ekonomie Fig. 2: Mo emen s in he log P and R; cyclical componen s (Pa 1) Sou ce: Au ho s’ calcula ion EM_4_2018.indd 12EM_4_2018.indd 12 28.11.2018 13:12:3928.11.2018 13:12:39