Munich Personal RePEc Archive

Cyclical relationship between exchange rates and macro-fundamentals in Central and Eastern Europe

Stavarek, Daniel (2013): Cyclical relationship between exchange rates and macro-fundamentals in Central and Eastern Europe.

This is the latest version of this item.

[img] PDF
MPRA_paper_45323.pdf

Download (500kB)

Abstract

We present empirical evidence on the business cycle relationship between nominal and real effective exchange rate, real GDP, consumption, investment, export, import and general government debt for a group of ten countries from the Central and Eastern Europe. We apply cross-correlation on cyclically filtered and seasonally adjusted quarterly time series over the period 1998-2010. The results are mixed in intensity, direction and cyclicality but show generally weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for government debt and import. We also apply simple regressions to relate the correlation to openness and welfare of the economy. The correlation between exchange rates and macroeconomic aggregates tends to be more pronounced in less open and relatively poorer countries.

Available Versions of this Item

  • Cyclical relationship between exchange rates and macro-fundamentals in Central and Eastern Europe. (deposited 21 Mar 2013 12:41) [Currently Displayed]
UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.