Cyclical relationship between exchange rates and macro-fundamentals in Central and Eastern Europe

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002171" target="_blank" >RIV/47813059:19520/13:#0002171 - isvavai.cz</a>

Result on the web

<a href="http://hrcak.srce.hr/index.php?show=clanakid_clanak_jezik=152938" target="_blank" >http://hrcak.srce.hr/index.php?show=clanakid_clanak_jezik=152938</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Cyclical relationship between exchange rates and macro-fundamentals in Central and Eastern Europe

Original language description

We present empirical evidence on the business cycle relationship between nominal and real effective exchange rate, real GDP, consumption, investment, export, import and general government debt for a group of ten countries from the Central and Eastern Europe. We apply cross-correlation on cyclically filtered and seasonally adjusted quarterly time series over the period 1998-2010. The results are mixed in intensity, direction and cyclicality but show generally weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for government debt and import. We also apply simple regressions to relate the correlation to openness and welfare of the economy. The correlation between exchange rates and macroeconomic aggregates tends to be more pronounced in less open and relatively poorer countries.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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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

2013

Confidentiality

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

Name of the periodical

Ekonomska Istraživanja - Economic Research

ISSN

1331-677X

e-ISSN

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Volume of the periodical

26

Issue of the periodical within the volume

2

Country of publishing house

HR - CROATIA

Number of pages

16

Pages from-to

83-98

UT code for WoS article

000320208300005

EID of the result in the Scopus database

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