Nature of Exchange Rate Cyclicality in Central and Eastern European Countries

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Nature of Exchange Rate Cyclicality in Central and Eastern European Countries

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Nature of Exchange Rate Cyclicality in Central and Eastern European Countries

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of 14th International Conference on Finance and Banking

ISBN

978-80-7248-939-8

ISSN

—

e-ISSN

—

Počet stran výsledku

7

Strana od-do

387-393

Název nakladatele

Silesian University, School of Business Administration

Místo vydání

Karviná

Místo konání akce

Ostrava

Datum konání akce

16. 10. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000345575000043