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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Economic Systems

ISSN

0939-3625

e-ISSN

—

Svazek periodika

42

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

584-596

Kód UT WoS článku

000454383000004

EID výsledku v databázi Scopus

2-s2.0-85051371299