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Real Exchange Rates in Central and Eastern Europe : What Scope for the Underlying Fundamentals?

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Author Info
Gilles DUFRENOT (ERUDITE Univ. Paris 12 & GREQAM Marseille)
Balazs Egert (National Bank of Austria & William Davidson Institute)

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Abstract

The aim of this paper is to study the the fundamental macroeconomic determinants of both the CPI and the PPI-based real effective exchange rate in 5 selected acceding countries from Central and Eastern Europe, i.E the Czech Republic, Hungary, Poland, Slovakia and Slovenia. The paper is based on the combination of two approaches widely used for transition economies, namely the Behavioral Equilibrium Exchange Rate (BEER) and the Structural VAR. Indeed, a cointegration approach is adopted and the estimated VECM model attempts to connect in a structural way the real effective exchange rate to labor productivity, the relative price of non-tradable goods, public deficit and the current account position. Impulse response functions are subsequently employed to investigate how shock in the underlying fundamentals impacts on the effective real exchange rates.

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Paper provided by EconWPA in its series Development and Comp Systems with number 0309002.

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Date of creation: 03 Sep 2003
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Handle: RePEc:wpa:wuwpdc:0309002

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
P33 - Economic Systems - - Socialist Institutions and Their Transitions - - - International Linkages

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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.:
  1. Balázs Égert & Imed Drine & Kirsten Lommatzsch & Christophe Rault, 2002. "The Balassa-Samuelson effect in Central and Eastern Europe: Myth or reality?," William Davidson Institute Working Papers Series 483, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
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  2. Mark Taylor & Lucio Sarno, 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(3), pages 1077-1077. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-99, October.
  5. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Coricelli, Fabrizio & Jazbec, Bostjan, 2004. "Real exchange rate dynamics in transition economies," Structural Change and Economic Dynamics, Elsevier, vol. 15(1), pages 83-100, March. [Downloadable!] (restricted)
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  7. Lionel Halpern & Charles Wyplosz, 1996. "Equilibrium Exchange Rates in Transition Economies," IMF Working Papers 96/125, International Monetary Fund.
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(explanations, 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.)

  1. Anna Lipinska, 2006. "Monetary regime choice in the accession countries - a theoretical analysis," Computing in Economics and Finance 2006 243, Society for Computational Economics. [Downloadable!]
  2. Nienke Oomes, 2005. "Maintaining Competitiveness Under Equilibrium Real Appreciation: The Case of Slovakia," IMF Working Papers 05/65, International Monetary Fund. [Downloadable!]
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