Real Exchange Rates Behavior in Selected EU Member States: Assessment of the Financial Crisis Effect

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F16%3A00010623" target="_blank" >RIV/47813059:19520/16:00010623 - 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
Real Exchange Rates Behavior in Selected EU Member States: Assessment of the Financial Crisis Effect
Original language description
The real exchange rate is one of the crucial macroeconomic variables for all open economies. Therefore, analysis of its evolution as well as volatility and behavior of its components (nominal exchange rate and relative prices) is of critical importance for both the economic theory and economic policy. In this paper, we focus on the interaction among the component variables of the real exchange rate. The main objective of this paper is evaluate how the relative prices affect the exchange rate. We calculate volatility measure and apply the Granger causality test, variance decomposition and impulse-response function in the Vector Auto Regression model for six selected non-euro EU member states (Czechia, Hungary, Poland, Denmark, Sweden and the United Kingdom). The calculations are conducted for two periods distinguished as the pre-crisis period and the post-crisis period. The results differ substantially between the periods and provide evidence that the relative prices play more important role in explaining the exchange rate behavior in the post-crisis period than before its origin
Czech name
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Czech description
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 15th International Conference on Finance and Banking
ISBN
978-80-7510-186-0
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
366-374
Publisher name
Silesian University
Place of publication
Karviná
Event location
Prague
Event date
Oct 13, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000447679800038

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