Estimation of the J-Curve Effect: The Case of Slovakia

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Estimation of the J-Curve Effect: The Case of Slovakia

Popis výsledku v původním jazyce

This paper empirically investigates the impact of change in exchange rate on export and import flows between Slovakia and its major trading partners. Devaluation or depreciation of a currency worsens the trade balance before improving it, resulting in aJ-curve pattern. This paper investigates J-curve phenomenon using quarterly time series data over the period 1997:1 to 2010:4. We apply the Johansen cointegration test to analyze the long run relationship between exchange rate and trade balance. Short term effects and the related J-curve effect is explored by estimating error correction model and by assessing the impulse-response function of the trade balance on the exchange rate shock. The results provide evidence that the classical J-curve effect doesnot exist in Slovakia. Instead, currency depreciation (increase in real effective exchange rate) is accompanied only by positive change in trade balance with no initial deterioration.

Název v anglickém jazyce

Estimation of the J-Curve Effect: The Case of Slovakia

Popis výsledku anglicky

This paper empirically investigates the impact of change in exchange rate on export and import flows between Slovakia and its major trading partners. Devaluation or depreciation of a currency worsens the trade balance before improving it, resulting in aJ-curve pattern. This paper investigates J-curve phenomenon using quarterly time series data over the period 1997:1 to 2010:4. We apply the Johansen cointegration test to analyze the long run relationship between exchange rate and trade balance. Short term effects and the related J-curve effect is explored by estimating error correction model and by assessing the impulse-response function of the trade balance on the exchange rate shock. The results provide evidence that the classical J-curve effect doesnot exist in Slovakia. Instead, currency depreciation (increase in real effective exchange rate) is accompanied only by positive change in trade balance with no initial deterioration.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 7th International Conference on Currency, Banking and International Finance

ISBN

978-80-225-3494-9

ISSN

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e-ISSN

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Počet stran výsledku

9

Strana od-do

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Název nakladatele

Ekonomická univerzita NHF

Místo vydání

Bratislava

Místo konání akce

Bratislava

Datum konání akce

1. 1. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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