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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

366-374

Název nakladatele

Silesian University

Místo vydání

Karviná

Místo konání akce

Prague

Datum konání akce

13. 10. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000447679800038