Relationship between Exchange Rates and Macro Aggregates over the Business Cycle

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230002153" target="_blank" >RIV/47813059:19520/12:#0002153 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Relationship between Exchange Rates and Macro Aggregates over the Business Cycle
Original language description
We present empirical evidence on the business cycle relationship between exchange rates and macroeconomic aggregates for a set of 10 countries from the Central and Eastern Europe. We apply cross-correlation on cyclically filtered and seasonally adjustedtime series over the period 1998-2011. We use quarterly data of nominal and real effective exchange rate, real GDP, short-term and long-term interest rates, money supply and foreign direct investment net inflow. In average, we found the cyclical properties of exchange rates and other variables as weakly correlated. The strongest correlation was found between exchange rates and interest rates. We usually found a reverse S-curve in assessment of a leading-lagging role of exchange rates.
Czech name
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Czech description
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Project
<a href="/en/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procyclicality of financial markets, asset price bubbles and macroprudential regulation</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Political Economy of Eurozone Crisis:Is Fiscal Union Feasible?
ISBN
978-80-87106-62-4
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
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Publisher name
Martin Stříž Publishing
Place of publication
Bučovice
Event location
Brno
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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