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Pecularities Of Cee Countries Exchange Rate Volatility. Empirical Evidence Under The Interference Between Transitory And Permanent Dimensions


  • Cristina Maria Triandafil

    (Doctoral Finance School)

  • Petre Brezeanu

    (Academy of Economic Studies, Bucharest)


This paper focuses on CEE countries volatility captured by exchange rate dynamic. The spillover phenomenon is analyzed from the perspective of the actual financial crisis where cross-border capital flows strenghthened the premises of the financial contagion. Volatility will be approached bi-dimensionally, from the perspective of the permanent and transitory dimensions. We conclude that volatility is long-term nature at the level of CEE countries, with a certain degree of pecularity in terms of shock reaction. The key result of the research consists of a deep correlation at the level of the exchange rate volatility between CEE countries and EURO zone, implying the necessity to develop strong financial management strategies at the macroeconomic level, capable of annihilating the transmision belt crisis mechanisms.

Suggested Citation

  • Cristina Maria Triandafil & Petre Brezeanu, 2008. "Pecularities Of Cee Countries Exchange Rate Volatility. Empirical Evidence Under The Interference Between Transitory And Permanent Dimensions," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 12(12(517)(s), pages 109-116, December.
  • Handle: RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:109-116

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    References listed on IDEAS

    1. Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters,in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412 National Bureau of Economic Research, Inc.
    2. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, March.
    3. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    4. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, March.
    5. Carmen M. Reinhart & Vincent Raymond Reinhart, 2002. "What Hurts Emerging Markets Most? G3 Exchange Rate or Interest Rate Volatility?," NBER Chapters,in: Preventing Currency Crises in Emerging Markets, pages 133-170 National Bureau of Economic Research, Inc.
    6. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers 97/21, International Monetary Fund.
    7. Edison, Hali J. & Pauls, B. Dianne, 1993. "A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 165-187, April.
    8. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-948, September.
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    volatility; component; transitory; permanent; spillover.;


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