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The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

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Author Info

  • Olga Arratibel

    ()
    (European Central Bank, Directorate General Economics, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany)

  • Davide Furceri

    (University of Palermo, Department of Economics, Italy ; OECD, Macroeconomic Analysis Division, 2 rue André-Pascal, 75775 Paris Cedex 16, France)

  • Reiner Martin

    ()
    (European Central Bank, Directorate General Economics, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany)

  • Aleksandra Zdzienicka

    ()
    (CNRS, UMR 5824, GATE, Ecully, F-69130, France; Corresponding adress: ENS-LSH, GATE, 15 parvis René Descartes, BP 7000 69342 Lyon Cedex, France)

Abstract

This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.

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Bibliographic Info

Paper provided by Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure in its series Working Papers with number 0934.

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Length: 27 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:gat:wpaper:0934

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Keywords: EU; Exchange Rate Volatility; Growth; FDI; Credit; Current Account;

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Cited by:
  1. Mirdala, Rajmund, 2013. "Real Output and Prices Adjustments under Different Exchange Rate Regimes," MPRA Paper 46879, University Library of Munich, Germany.
  2. Halmi Mirela, 2012. "The Correlation Between The Exchange Rate And The Direct Foreign Investments," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 809-815, July.
  3. Mirdala, Rajmund, 2013. "Current Account Adjustments and Real Exchange Rates in the European Transition Economies," MPRA Paper 48901, University Library of Munich, Germany.
  4. Davide Furceri & Stéphanie Guichard & Elena Rusticelli, 2011. "The Effect of Episodes of Large Capital Inflows on Domestic Credit," OECD Economics Department Working Papers 864, OECD Publishing.
  5. Sanginabadi, Bahram & Heidari, Hassan, 2012. "The Effects of Exchange Rate Volatility on Economic Growth in Iran," MPRA Paper 52406, University Library of Munich, Germany.
  6. Mirdala, Rajmund, 2012. "Macroeconomic Aspects of Real Exchange Rate Volatility in the Central European Countries," MPRA Paper 40910, University Library of Munich, Germany.
  7. Ghiba, Nicolae, 2010. "Efecte ale volatilității cursului de schimb asupra exporturilor
    [Effects of exchange rate volatility on exports]
    ," MPRA Paper 28448, University Library of Munich, Germany.

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