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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

    (BCE - Banque Centrale Européenne - Banque Centrale Européenne)

  • Davide Furceri

    (OCDE - Organisation de coopération et de développement économiques - OCDE)

  • Reiner Martin

    (BCE - Banque Centrale Européenne - Banque Centrale Européenne)

  • Aleksandra Zdzienicka-Durand

    (GATE Lyon Saint-Etienne - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - École Normale Supérieure - Lyon)

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 HAL in its series Post-Print with number halshs-00456606.

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Date of creation: 2011
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Publication status: Published, Economic Systems, 2011, 35, 2, pp. 261-277
Handle: RePEc:hal:journl:halshs-00456606

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00456606
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Keywords: EU ; Exchange Rate Volatility ; Growth ; FDI ; Credit ; Current Account;

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Cited by:
  1. Mirdala, Rajmund, 2013. "Current Account Adjustments and Real Exchange Rates in the European Transition Economies," MPRA Paper 48901, University Library of Munich, Germany.
  2. 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.
  3. Rajmund Mirdala, 2013. "Real Output and Prices Adjustments Under Different Exchange Rate Regimes," William Davidson Institute Working Papers Series wp1064, William Davidson Institute at the University of Michigan.
  4. Sanginabadi, Bahram & Heidari, Hassan, 2012. "The Effects of Exchange Rate Volatility on Economic Growth in Iran," MPRA Paper 52406, University Library of Munich, Germany.
  5. Mirdala, Rajmund, 2012. "Macroeconomic Aspects of Real Exchange Rate Volatility in the Central European Countries," MPRA Paper 40910, University Library of Munich, Germany.
  6. 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.
  7. Magda Kandil, 2009. "Does Demand Volatility Lower Growth and Raise Inflation? Evidence from the Caribbean," Economia Mexicana NUEVA EPOCA, , vol. 0(1), pages 45-69, January-J.
  8. 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.

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