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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procykličnost finančních trhů, bubliny v cenách aktiv a makroprudenční regulace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Ekonomska Istraživanja - Economic Research

ISSN

1331-677X

e-ISSN

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Svazek periodika

26

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

HR - Chorvatská republika

Počet stran výsledku

16

Strana od-do

83-98

Kód UT WoS článku

000320208300005

EID výsledku v databázi Scopus

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