کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964900 1479230 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach
چکیده انگلیسی


• We examine a relation between exchange rates and macrofundamentals in CEE countries.
• Our methodology allows for non-stationarity and cross-sectional dependence.
• Evidence of cross-sectional dependence among CEE countries is strong.
• Exchange rates of CEE currencies return to the long-term equilibrium relation.
• The results are not driven by the global financial crisis.

This paper examines whether the monetary model is a reasonable framework for exchange rate movements in Central and Eastern European countries. We apply the methodology for non-stationary panels, which allows for cross-sectional dependence. We also choose the timespan of data free of high inflation periods and focus on countries with relatively flexible exchange rates. Using quarterly panel data, 2001:4–2012:4, we find evidence of cointegration between exchange rates and macroeconomic fundamentals. Granger causality tests reveal that exchange rates have reverted to the long-run relation implied by the monetary model. The results obtained are not driven by the recent crisis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 41, September 2014, Pages 148–159
نویسندگان
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