Exchange rate dynamics and their effect on macroeconomic volatility in selected CEE countries

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F18%3A00497609" target="_blank" >RIV/00216208:11640/18:00497609 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1016/j.ecosys.2018.02.003" target="_blank" >http://dx.doi.org/10.1016/j.ecosys.2018.02.003</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ecosys.2018.02.003" target="_blank" >10.1016/j.ecosys.2018.02.003</a>

Result language

angličtina

Original language name

Exchange rate dynamics and their effect on macroeconomic volatility in selected CEE countries

Original language description

To understand the potential for forming an optimum currency area it is important to investigate the origins of macroeconomic volatility. We focus on the contribution of real exchange rate shocks to macroeconomic volatility in selected Central and Eastern European countries. The contribution of real exchange rate shocks relative to other shocks allows us to evaluate whether the real exchange rate is a source of volatility or a buffer against shocks, as the theory suggests. The identification of the contributions is based on variance decomposition in two-country structural VAR models, which are identified by the sign restriction method. For most of the countries in the sample, shocks are predominantly symmetric relative to their effective counterpart, although the role of non-symmetric shocks is non-negligible. In general, for all the countries considered except Bulgaria and Slovenia, the real exchange rate does not generate large volatility over the business cycle and, with the exception of Bulgaria and Romania, is mostly driven by the non-symmetric shocks. These results are consistent with the real exchange rate having a shock-absorbing nature.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Economic Systems

ISSN

0939-3625

e-ISSN

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Volume of the periodical

42

Issue of the periodical within the volume

4

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

584-596

UT code for WoS article

000454383000004

EID of the result in the Scopus database

2-s2.0-85051371299