Sources Of Exchange Rate Volatility In The European Transition Economies. Effects Of Economic Crisis Revealed
AbstractNegative macroeconomic performance issues represent one of the key effects of crisis period. Due to many economic crisis related side effects countries became more vulnerable to various types of endogenous and exogenous shocks. Exchange rates of the European transition economies became much more volatile as a result of increased uncertainty on the financial markets as well as changed behaviour of structural shocks affecting exchange rates path during the crisis period. As a result we expect a contribution of the structural shocks to the exchange rates path has changed. In the paper we analyse sources of exchange rate fluctuations in the European transition economies. We estimate the contribution of nominal, supply and demand shocks to NEER and REER variability implementing SVAR methodology. Long run restrictions are applied to unrestricted VAR model to identify structural shocks. Variance decomposition and impulse-response functions are computed for each individual country for the period 2000-2007 and 2000-2011. Comparison of results for both periods is crucial for identification of the role of economic crisis in determining exchange rate volatility in the European transition economies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 7 (2012)
Issue (Month): 3(21)/ Fall 2012 ()
Contact details of provider:
Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
More information through EDIRC
exchange rates; exogenous structural shocks; structural vector autoregression; variance decomposition; impulse-response function;
Other versions of this item:
- Mirdala, Rajmund, 2012. "Sources of exchange rate volatility in the european transition economies (effects of economic crisis revealed)," MPRA Paper 42060, University Library of Munich, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jarko Fidrmuc & Roman Horváth, 2007.
"Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data,"
CESifo Working Paper Series
2107, CESifo Group Munich.
- Fidrmuc, Jarko & Horváth, Roman, 2008. "Volatility of exchange rates in selected new EU members: Evidence from daily data," Economic Systems, Elsevier, vol. 32(1), pages 103-118, March.
- Mirdala, Rajmund, 2012. "Macroeconomic Aspects of Real Exchange Rate Volatility in the Central European Countries," MPRA Paper 40910, University Library of Munich, Germany.
- Kollmann, Robert, 2001.
"The exchange rate in a dynamic-optimizing business cycle model with nominal rigidities: a quantitative investigation,"
Journal of International Economics,
Elsevier, vol. 55(2), pages 243-262, December.
- Robert Kollmann, 2001. "The exchange rate in a dynamic-optimizing business cycle model with nominal rigidities: a quantitative investigation," ULB Institutional Repository 2013/7630, ULB -- Universite Libre de Bruxelles.
- Agnieszka Stazka, 2006. "Sources of Real Exchange Rate Fluctuations in Central and Eastern Europe – Temporary or Permanent?," CESifo Working Paper Series 1876, CESifo Group Munich.
- Shigeyuki Hamori & Naoko Hamori, 2007. "Sources of Real and Nominal Exchange Rate Movements for the Euro," Economics Bulletin, AccessEcon, vol. 6(32), pages 1-10.
- Tamim Bayoumi and Barry Eichengreen., 1992.
"Shocking Aspects of European Monetary Unification,"
Economics Working Papers
92-187, University of California at Berkeley.
- Tamim Bayoumi & Barry Eichengreen, 1992. "Shocking Aspects of European Monetary Unification," NBER Working Papers 3949, National Bureau of Economic Research, Inc.
- Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of European Monetary Unification," CEPR Discussion Papers 643, C.E.P.R. Discussion Papers.
- Enders, Walter & Lee, Bong-Soo, 1997. "Accounting for real and nominal exchange rate movements in the post-Bretton Woods period," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 233-254, April.
- Ibrahim Chowdhury, 2004. "Sources of exchange rate fluctuations: empirical evidence from six emerging market countries," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 697-705.
- Guillermo A. Calvo & Carmen M. Reinhart, 2002.
"Fear Of Floating,"
The Quarterly Journal of Economics,
MIT Press, vol. 117(2), pages 379-408, May.
- Lastrapes, William D, 1992. "Sources of Fluctuations in Real and Nominal Exchange Rates," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 530-39, August.
- Fidrmuc, Jarko & Korhonen, Iikka, 2001.
"Similarity of supply and demand shocks between the Euro area and the CEECs,"
BOFIT Discussion Papers
14/2001, Bank of Finland, Institute for Economies in Transition.
- Fidrmuc, Jarko & Korhonen, Iikka, 2003. "Similarity of supply and demand shocks between the euro area and the CEECs," Economic Systems, Elsevier, vol. 27(3), pages 313-334, September.
- Fidrmuc, Jarko & Iikka Korhonen, 2003. "Similarity of Supply and Demand Shocks Between the Euro Area and the CEECs," Royal Economic Society Annual Conference 2003 77, Royal Economic Society.
- repec:ebl:ecbull:v:6:y:2007:i:32:p:1-10 is not listed on IDEAS
- Frait , Jan & Komárek, Luboš, 2001. "REAL Exchange rate trends in transitional countries," The Warwick Economics Research Paper Series (TWERPS) 596, University of Warwick, Department of Economics.
- Nabil Ben Arfa, 2009. "Analysis of Shocks Affecting Europe: EMU and some Central and Eastern Acceding Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(1), pages 21-38, March.
- Ali M. Kutan & Selahattin Dibooglu, 1998. "Sources of real and nominal exchange rate fluctuations in transition economies," Working Papers 1998-022, Federal Reserve Bank of St. Louis.
- Mirdala, Rajmund, 2013.
"Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes,"
53209, University Library of Munich, Germany.
- Rajmund Mirdala, 2014. "Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes," William Davidson Institute Working Papers Series wp1070, William Davidson Institute at the University of Michigan.
- Mirdala, Rajmund, 2012.
"Interest Rates Determination and Crisis Puzzle (Empirical Evidence from the European Transition Economies),"
43756, University Library of Munich, Germany.
- Rajmund MIRDALA, 2012. "Interest Rates Determination And Crisis Puzzle (Empirical Evidence From The European Transition Economies)," Journal of Applied Economic Sciences Quarterly, ASERS Publishing, vol. 0(4), pages 418-436, December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu).
If references are entirely missing, you can add them using this form.