Nature of Exchange Rate Cyclicality in Central and Eastern European Countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002691" target="_blank" >RIV/47813059:19520/14:#0002691 - 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
Nature of Exchange Rate Cyclicality in Central and Eastern European Countries
Original language description
This paper provides empirical evidence on relationship between cyclical components of real effective exchange rate (REER) and selected macroeconomic fundamentals that are frequently used in exchange rate determination models. The analysis focuses on tenCentral and Eastern European countries over the period 1998-2011. Cross correlation is applied on quarterly, filtered and seasonally adjusted data. Correlation coefficients are usually sufficiently high if REER leads or lags the respective variable of more than two quarters. However, results on procyclicality, acyclicality or countercyclicality of exchange rates are ambiguous and differ across the analyzed countries. Level of the country's openness does not significantly affect intensity of the relationship between REER and macroeconomic fundamentals.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of 14th International Conference on Finance and Banking
ISBN
978-80-7248-939-8
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
387-393
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000345575000043

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