Hodnocení pravděpodobnosti recese v Česku, Polsku a Maďarsku (dokument v AJ)

8/2/2019 Hodnocen pravdpodobnosti recese v esku, Polsku a Maarsku (dokument v AJ)

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MGM MirageCredit Research | United StatesEM Model UpdateEmerging Markets Research | EEMEA

Nomura International PLC.

See Disclosure Appendix A1 for the Analyst Certification and Other Important Disclosures

09 MARCH 2012

Fixed Income Research

Contributing Analysts

Peter Attard Montalto+44 20 7102 [email protected]

Olgay Buyukkayali+44 20 7102 [email protected]

This report can be accessedelectronically via:www.nomura.com/research or onBloomberg (NOMR)

With special thanks to AlastairMatthews for helping devise andbuild this product.

Recession and overheating probability models

We produce an update of our simple models which look at when economies are at risk ofoverheating or at risk of recession. These models can therefore provide a useful insight at atime of uncertainty over the growth contagion from Europe into EEMEA.

We estimate that the EEMEA region grew at 4.6% y-o-y in 2011, but with growth slowing to just 2.2% this year based on the eurozone contracting by 0.7%.With markets stabilisingsince the beginning of the year, US and Asian growth outperforming and European growthweakening only modestly, the outlook for global growth looks a touch brighter than at theback end of last year. However, we still expect a mild eurozone recession, which will have astrong weakening effect on output within EEMEA. Linkages between CEE in particular andeurozone domestic demand are unlikely to have changed much since 2009, with decliningexport demand the largest drag on growth, while any European bank deleveraging will alsoact as a constraint on output.

Recession probabilities for Hungary and the Czech Republic remain significantlyraised at levels above 70%, indicating a strong likelihood that the two countries mayhave entered a period of prolonged sub-par growth. Intuitively, within EEMEA,these two countries with their closer eurozone links and idiosyncratic issues, wouldseem most likely to suffer from slower global growth.

Our models suggest that within EEMEA, South Africa, Turkey and Poland are leastlikely to enter recession, with limited evidence of any real contagion from last yearsmarket turmoil so far. However, we expect the effects of slower global growth to befelt more strongly in the coming months.

Our overheating probability indicators suggest there is an extremely high possibilitythat Turkey and, with a slightly more moderate probability, Russia will overheat atsome point over the next 12 months. However, the use of a consistent model for the

region means that our indicators continue to portray a picture that is perhapsstronger than reality for both Turkey and Russia, and we still expect a correction inoverheating probabilities over the coming months.

Notes: Our indicators may technically suggest an economy is both overheating and at riskof recession at the same time, because an overheating bubble can burst very rapidly. A fullmethodology is available at the back of this report, or please see ourintroductory report(06January 2012) for more details.

Summary table: EEMEA Recession Probabilities Current Recession/Overheating Probabilities

All sources: Nomura

Summary table: EEMEA Overheating Probabilities

10/2011 11/2011 12/2011 01/2012 02/2012

Turkey 1.5% 1.7% 1.1% 1.5% 2.1%

South Africa 6.3% 6.6% 7.5% 7.2% 7.0%Israel 28.8% 35.7% 35.7% 42.6% 46.1%

Hungary 78.8% 80.3% 75.3% 76.3% 77.7%

Czech 50.7% 69.1% 78.8% 87.0% 83.3%

Russia 28.6% 24.1% 25.3% 27.1% 34.0%

Poland 1.9% 1.6% 2.3% 2.9% 4.1%

Note: Poland, Czech and Russia probabilities are for 2 periods of real GDP grow th (% q-

o-q) of


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Nomura | EEMEA Recession and Overheating Probability Indicators 09 March 2012

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Hungary: Recession is just round the corner

Figure 9. Hungary: recession probability table

Figure 10. Hungary: overheating probability table

Figure 11. Hungary: historical recession probability Figure 12. Hungary: historical overheating probability

Summary:Our recession indicator suggests that there is a 77.9% probability that Hungary is in recession, the highest outrightscore of the seven EEMEA countries. The probability has fluctuated over the past few months as data have been considerablymixed, with industrial production coming out strong in December only to fall back into negative territory in January, while retailsales data have improved over the past five months. However, the probability remains at a level consistent with previousrecessionary periods. We expect a sharp slowdown in consumption as unemploymentclimbs as a result of the economys largeexposure to eurozone core consumption. Although net trade should in fact remain supportive as the surplus climbs through2012. A contraction of private sector investment, accelerated by deleveraging and a lack of FDI stemming from unpredictablepolicy will both restrain growth, even without further external shocks. Financial stability concerns, especially if risk premia beginto rise again once the market assesses the potential of no IMF deal, mean that further monetary tightening is perhaps morelikely than easing (albeit if easing is more likely in the short-run). All this considered, the risk of Hungary entering recessionremains relatively high. We currently forecast a 0.8% decline in output (y-o-y) in 2012, including a mild recession.

Model notes:Hungarys overheating model is one of the weakest in terms of fit in this suite of models because of the difficultyin finding periods that are overheating. Given how stressed the economy has been over the last 10 years it treats the period ofend-2006 to mid-2008 as overheating, even though in reality the economy was still below sub-par. We include it here forconsistency across countries.

10/2011 11/2011 12/2011 01/2012 02/2012

Consumer Confidence sa (y-o-y) -29.2 -28.7 -29.2 -30.8 -23.5

Equities (% y-o-y) -24.0 -14.6 -20.4 -16.8 -16.7

Retail Sales (% y-o-y) 1.2 1.4 3.0 3.0 3.0

Industrial Production sa (% y-o-y) 3.2 3.1 6.8 -2.7 -2.7

Unemployment (y-o-y) -0.1 -0.1 -0.1 -0.1 -0.1

Reces sion Probability 78.8% 80.3% 75.3% 76.3% 77.9%

Actual Reces sion No No No Yes Yes

10/2011 11/2011 12/2011 01/2012 02/2012

Industrial Production sa 3.2 6.7 -1.1 0.9 3.0

M2 -0.8 0.6 1.3 1.3 1.3Retail Sales 2.7 3.2 3.6 3.6 3.6

CPI (% q-o-q) 0.5 1.3 1.6 1.0 1.0

Overheating Probability 17.4% 33.2% 30.0% 28.2% 19.0%

Actual Overheating No No No No No

Note: Industrial production, M2 and retail sales refer to the divergence from trend

30

35

40

45

50

55

60

650.0

0.2

0.4

0.6

0.8

1.0

Mar-95 Mar-98 Mar-01 Mar-04 Mar-07 Mar-10

Recession

Recession Probability

PMI (rhs inverted)

-4

-3

-2

-1

0

1

2

3

40.0

0.2

0.4

0.6

0.8

1.0

Jan-95 Jan-98 Jan-01 Jan-04 Jan-07 Jan-10

Overheating

Overheating Probability

Unemp loyment gap (rhs inverted)


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Poland: No recession, no overheating in sight

Figure 17. Poland: recession probability table

Figure 18. Poland: overheating probability table

Figure 19. Poland: historical recession probability Figure 20. Poland: historical overheating probability

Summary:Our recession indicator suggests there is only a 3.8% probability that Poland is undergoing a period of sub-pargrowth in February. We believe Poland should maintain its growth momentum through 2012, outperforming the rest of theregion, aided by loose fiscal and monetary policy and strong household and business balance sheets. The FX mortgage pool issmall enough not to have amajor drag on the economy, and continued investment on next years European Championshipsshould also provide a boost. Deleveraging should affect Poland the least with its profitable foreign banks and strong regulation,willing buyers of assets, limiting fire-sale risk and all remaining a key support for growth. As the most closed economy in CEE,and with some decoupling from the eurozone since 2009, Poland is well placed to deal with an external shock. A contractingtrade deficit should actually be slightly supportive to growth through H2, though a stronger currency threatens this. Therefore,we believe Poland will once again, as in 2008-09, survive without recession, with growth falling from 4.3% in 2011 to 2.8% in2012, although once again, risks are skewed to the downside should the eurozone experience a prolonged downturn.

Model notes:Poland has not suffered a recession in recent times, and as such we look here at periods of low y-o-y growth.These are highlighted in the graph above.

10/2011 11/2011 12/2011 01/2012 02/2012

Industrial Production sa (% y-o-y) 6.8 8.4 7.6 7.6 7.6

Consumer Confidence sa -23.1 -23.4 -33.0 -28.7 -28.6

Equities (% y-o-y) -10.5 -12.4 -21.9 -13.8 -14.7

EURPLN 4.4 4.5 4.5 4.2 4.1


Actual Reces sion No No No No No

Note: Probability is for 2 consecutive quarters of real GDP grow th (q-o-q)


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Czech Republic: Highest recession probability within EEMEA

Figure 21. Czech Republic: recession probability table

Figure 22. Czech Republic: overheating probability table

Figure 23. Czech Republic: historical recession probabilityFigure 24. Czech Republic: historical overheatingprobability

Summary:The probability that the Czech Republic is now experiencing a period of sub-par growth has increased sharplyover the past few months, reaching a high of 87.0% in January. This is a level that is consistent with previous periods of sub-

par growth, and has been led by a decline in consumer confidence and equity performance. However a modest recovery inboth of these indicators has seen the score fall back in February to 83.3%. Despite a strong banking system, wheredeleveraging should only have a limited effect and the fading drag from previous fiscal consolidation, the strong external shockin the eurozone is likely to reduce growth sharply in 2012. The effect of a eurozone recession is likely to be strongly felt here,with the Czech Republic perhaps the most open and exposed economy in Emerging Europe (67% of export demand comesfrom the eurozone), and with particularly close links to Germany. Recent GDP data suggest the Czech Republic underwent aperiod of sub-par growth during Q2 and Q3 2011, and this is likely to continue through H1 of this year.

Model notes:TheCzech Republic has not suffered more than one recession in recent times. As such, here we look for periods

of low y-o-y growth.

10/2011 11/2011 12/2011 01/2012 02/2012

Industrial Production sa (% y-o-y) 2.5 4.8 4.5 4.5 4.5

Retail Sales (% y-o-y) 1.5 0.5 1.6 1.6 1.6

Consumer Confidence sa (% y-o-y) -8.5 -19.5 -22.6 -17.2 -15.8

Equities (% y-o-y) -19.5 -20.6 -25.6 -21.5 -18.7


Actual Reces sion No Yes Yes Yes Yes

Note: Probability is for 2 consecutive quarters of real GDP grow th (q-o-q)


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Methodology

EEMEA Recession Indicator

The EEMEA recession probabilities aim to provide an early indication of whether a countryhas entered recession. With recession defined as two consecutive quarters of negativeq-o-q real GDP growth, we are unable to determine when an economy actually enteredrecession for two quarters and even longer considering data lags. Hence we need a form ofleading indicator. To obtain this earlier indication, we create a model for each country from

high frequency data using probit regression. With periods of recession denoted by 1, themodel provides a probability that the economy in question entered recession in that month.

For Poland, the Czech Republic and Russia, which have not experienced more than onerecession over the time period dictated by data availability, our model looks at theprobability that the economy is entering a period of slow growth (defined as two consecutiveperiods of q-o-q real GDP growth of less than 0.5%).

Where the latest months data have not yet been released, the model uses the latestavailable figure. In the tables above, this is denoted by the shaded pink areas. For monthswhere we have no GDP data, we have used Nomura forecasts to determine whether theeconomy is actually in recession, and this is illustrated by the shaded grey values in thetables above.

For details on the regression analysis, please see Figure 29 below:

Figure 29: Regression Specifications

Turkey Coefficient Standard Error P-value

c 1.8932 0.6025 0.0017

USDTRY -3.1188 0.6911 0.0000

Business Confidence -0.0680 0.0148 0.0000

Industrial Production (% y-o-y) -0.0647 0.0291 0.0264

R-Squared: 0.76

Israel Coefficient Standard Error P-value

c -1.9400 0.3945 0.0000

Industrial Production (% y-o-y) -0.0583 0.0390 0.1350

PMI (% y-o-y) -0.0257 0.0157 0.1030

Equities (% y-o-y) -0.0693 0.0225 0.0021

R-Squared: 0.67

South Africa Coefficient Standard Error P-value

c -1.1555 0.2228 0.0000

Manufacturing Sales sa (% y-o-y) -0.0310 0.0158 0.0495

Retail Sales sa (% y-o-y) -0.1630 0.0418 0.0001

Consumer Confidence sa (% y-o-y) -0.1117 0.0600 0.0627

Industrial Production sa (% y-o-y) -0.0656 0.0371 0.0768

R-Squared: 0.47

Hungary Coefficient Standard Error P-value

c -0.9172 0.2834 0.0012

Consumer Confidence sa (y-o-y) -0.0645 0.0150 0.0000

Equities (% y-o-y) -0.0491 0.0130 0.0001

Retail Sales (% y-o-y) -0.1131 0.0451 0.0122


Unemployment (y-o-y) 0.5602 0.2479 0.0238

R-Squared: 0.68

Poland Coefficient Standard Error P-value

c 5.1861 3.0930 0.0936


Consumer Confidence sa -0.0699 0.0286 0.0146

Equities (% y-o-y) -0.0420 0.0198 0.0338

EURPLN -2.3176 0.9164 0.0114

R-Squared: 0.66

Czech Republic Coefficient Standard Error P-value

c -3.1000 0.9412 0.0010

Industrial Production sa (% y-o-y) 0.1646 0.0883 0.0624

Retail Sales (% y-o-y) -0.1284 0.0865 0.1380

Consumer Confidence sa ( y-o-y) -0.0765 0.0448 0.0881

Equities (% y-o-y) -0.1306 0.0427 0.0022

R-Squared: 0.72

Russia Coefficient Standard Error P-value

c -1.2161 0.2319 0.0000

Employment (% y-o-y) -0.1065 0.0423 0.0119

PMI (% y-o-y) -0.0930 0.0331 0.0049

Equities (% y-o-y) -0.0060 0.0044 0.1807

USDRUB (% y-o-y) -0.0099 0.0060 0.0996

R-Squared: 0.37


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EEMEA Overheating Indicator

The EEMEA overheating probabilities aim to provide an early indication of whether aneconomy is growing at an unsustainable rate. We first look at the output gap by calculatingthe divergence between actual real GDP and trend real GDP (using Hodrick-Prescott filters),expressed as a percentage of trended GDP. We define a period of overheating as onewhere the output gap exceeds one standard deviation above trend for two consecutivequarters. The standard deviations used in the regression are illustrated in Figure 30 below.Similar to the recession indicator, we used a probit regression with a series of high

frequency indicators, such as money and credit growth, hard economic data, inflation andimports (as a demand proxy), assigning values of 1 if the economy was to overheat usingthe above definition in the next 12 months. For details on this analysis, please see Figure31 below.

Where the latest months data have not yet been released, the model uses the latestavailable figure. In the tables above, this is denoted by the shaded pink areas. For monthswhere we have no GDP data, we have used Nomura forecasts to determine whether theeconomy is actually overheating and this is illustrated by the shaded grey values in thetables above.

Figure 30: Standard deviation of output gaps used in regression analysis as percentage points growth

Turkey 3.24

Israel 1.92

South Africa 1.28

Hungary 1.52

Poland 1.35

Czech Republic 1.88

Russia 3.09

Figure 31: Regression Specifications

Turkey Coefficient Standard Error P-value

c -3.1730 0.8049 0.0001

Imports (% y-o-y) 0.0755 0.0245 0.0021

Private Credit 0.2944 0.0700 0.0000Industrial Production 0.1620 0.0371 0.0000

Equities 0.0206 0.0084 0.0138

R-Squared: 0.70

Israel Coefficient Standard Error P-value

c -5.2965 1.3264 0.0001

Imports (% y-o-y) 0.1334 0.0380 0.0005

Private Credit (% y-o-y) 0.2311 0.0702 0.0010Retail Sales sa 0.2646 0.0807 0.0010

Industrial Production 0.2483 0.0951 0.0090

R-Squared: 0.73

South Africa Coefficient Standard Error P-value

c -9.2609 1.7852 0.0000

M2 (% y-o-y) 0.2887 0.0676 0.0000

Imports (% y-o-y) 0.1449 0.0311 0.0000

Retail Sales sa 0.2008 0.0552 0.0003

Private Credit 0.4259 0.0860 0.0000

R-Squared: 0.75

Hungary Coefficient Standard Error P-value

c -2.4605 0.4079 0.0001

Industrial Production sa 0.3137 0.0501 0.0000

M2 0.0874 0.0612 0.1527

Retail Sales 0.0724 0.0394 0.0661

CPI (% q-o-q) 0.2434 0.0866 0.0049

R-Squared: 0.53

Poland Coefficient Standard Error P-value

c -7.3628 1.4459 0.0000

Equities (% y-o-y) 0.0681 0.0190 0.0003

Industrial Production sa 0.0838 0.0548 0.1262

M2 0.5624 0.1340 0.0000

Private Credit (% y-o-y) 0.2778 0.0549 0.0000

R-Squared: 0.76

Czech Republic Coefficient Standard Error P-value

c -4.0343 1.0339 0.0001

Private Credit (% y-o-y) 0.1888 0.0449 0.0000

M2 0.4514 0.1343 0.0008

CPI (% y-o-y) 0.2517 0.1081 0.0199

Imports 0.1165 0.0578 0.0439

R-Squared: 0.68

Russia Coefficient Standard Error P-value

c 11.1580 2.9525 0.0002

M2 0.1347 0.0306 0.0000

Unemployment rate (q-o-q) -2.3102 0.5665 0.0000

CPI (% q-o-q) 0.1359 0.0626 0.0300

R-Squared: 0.82

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Hodnocení pravděpodobnosti recese v Česku, Polsku a Maďarsku (dokument v AJ)