کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964900 | 1479230 | 2014 | 12 صفحه PDF | دانلود رایگان |

• 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.
Journal: Journal of Macroeconomics - Volume 41, September 2014, Pages 148–159