Risk Related Non Linearities in Exchange Rates: Evidence from a Panel of Central and Eastern European Countries
This paper investigates the recent evolution of five Eastern European exchange rates. Our aim is twofold: to provide an up-to-date view of the predictability and main relations of spot rates with economic fundamentals and to derive some considerations about exchange rate regimes, capital flows, and risk appetite. We propose a non-linear specification where the non-linearity refers to the effect of the interest rate differential. The paper supports the view that given the relevance of capital flows and their sensitivity to risk adjusted yield differentials, the choice of exchange rate regime should be a matter of careful strategy. Copyright Kluwer Academic Publishers 2003
References listed on IDEAS
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.:
- International Monetary Fund, 2000. "Exchange Rate Regimes in Selected Advanced Transition Economies: Coping with Transition, Capital Inflows, and EU Accession," IMF Policy Discussion Papers 00/3, International Monetary Fund.
- C Grafe & C Wyplosz, 1998.
"The Real Exchange Rate in Transition Economies,"
CEP Discussion Papers
dp0395, Centre for Economic Performance, LSE.
- Clemens Grafe & Charles Wyplosz, 1998. "The real exchange rate in transition economies," LSE Research Online Documents on Economics 20268, London School of Economics and Political Science, LSE Library.
- Grafe, Clemens & Wyplosz, Charles, 1997. "The Real Exchange Rate in Transition Economies," CEPR Discussion Papers 1773, C.E.P.R. Discussion Papers.
- Chinn, Menzie D. & Meredith, Guy, 2000. "Testing uncovered interest parity at short and long horizons," HWWA Discussion Papers 102, Hamburg Institute of International Economics (HWWA).
- Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, June.
- Wyplosz, Charles, 2000.
"Ten Years of Transformation: Macroeconomic Lessons,"
CEPR Discussion Papers
2254, C.E.P.R. Discussion Papers.
- Wyplosz, Charles, 2000. "Ten years of transformation - macroeconomic lessons," Policy Research Working Paper Series 2288, The World Bank.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- KornÃ©lia KrajnyÃ¡k & Jeromin Zettelmeyer, 1998.
"Competitiveness in Transition Economies: What Scope for Real Appreciation?,"
IMF Staff Papers,
Palgrave Macmillan, vol. 45(2), pages 309-362, June.
- KornÃ©lia KrajnyÃ¡k & Jeromin Zettelmeyer, 1997. "Competitiveness in Transition Economies: What Scope for Real Appreciation?," IMF Working Papers 97/149, International Monetary Fund.
- Chinn, Menzie David & Meredith, Guy, 2000. "Interest parity at short and long horizons," SFB 373 Discussion Papers 2000,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Sebastian Edwards & Miguel A. Savastano, 1999. "Exchange Rates in Emerging Economies: What Do We Know? What Do We Need to Know?," NBER Working Papers 7228, National Bureau of Economic Research, Inc.
- Lionel Halpern & Charles Wyplosz, 1996.
"Equilibrium Exchange Rates in Transition Economies,"
IMF Working Papers
96/125, International Monetary Fund.
- LÃ¡szlÃ³ Halpern & Charles Wyplosz, 1997. "Equilibrium Exchange Rates in Transition Economies," IMF Staff Papers, Palgrave Macmillan, vol. 44(4), pages 430-461, December.
- Philippe BACCHETTA & Eric VAN WINCOOP, 1999.
"Does Exchange Rate Stability Increase Trade and Welfare ?,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
9917, Université de Lausanne, Faculté des HEC, DEEP.
- Eric van Wincoop & Philippe Bacchetta, 2000. "Does Exchange-Rate Stability Increase Trade and Welfare?," American Economic Review, American Economic Association, vol. 90(5), pages 1093-1109, December.
- Andrew Berg & Paolo Mauro & Michael Mussa & Alexander K. Swoboda & Esteban Jadresic & Paul R. Masson, 2000. "Exchange Rate Regimes in an Increasingly Integrated World Economy," IMF Occasional Papers 193, International Monetary Fund.
- Jeffrey A. Frankel, 1999. "No Single Currency Regime is Right for All Countries or At All Times," NBER Working Papers 7338, National Bureau of Economic Research, Inc.
- Paul R. Masson, 1999. "Monetary and Exchange Rate Policy of Transition Economies of Central and Eastern Europe after the Launch of EMU," IMF Policy Discussion Papers 99/5, International Monetary Fund.
- Robert Alan Feldman & Heliodoro Temprano-Arroyo, 1998. "Selected Transition and Mediterranean Countries: An Institutional Primer on EMU and EU Relations," IMF Working Papers 98/82, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:kap:openec:v:14:y:2003:i:2:p:135-155. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.