Exchange Rate Volatility and the Foreign Trade in CEEC

Lucie Tomanova
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Lucie Tomanova: Silesian University in Opava/Finance, School of Business Administration in Karvina, Karvina, Czech Republic

No 267, EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey from Ekonomik Yaklasim Association

Abstract: The exchange rate plays an important role in a country’s export performance and currency volatility has impact on international trade, the balance of payments and economic performance, however, views on the impact of exchange rate volatility on international trade flows are inconsistent, thus it is necessary to examine this matter further, and with knowledge of the application to small open economies. This paper analyzes impact of exchange rate volatility on the export performance of Central and Eastern European countries. Using monthly time series data, the empirical analyses has been carried out for the period 01/1999 to 03/2013. Volatility’s impact on export performance is estimated on bilateral export flows of Czech Republic, Slovakia, Hungary and Poland to euro area. For the volatility measurement, G/ARCH models are used. Autoregressive distributed lag and error-correction approach are used to examine the impact of exchange rate volatility on the exports. The results suggest no significant relationship among the exchange rate volatility and export performance in CEE countries, impact of exchange rate volatility turns out to be ambiguous.

Keywords: exchange rates; VECM; ARDL; export; volatility (search for similar items in EconPapers)
JEL-codes: C22 F31 F42 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2013
New Economics Papers: this item is included in nep-cba, nep-eec, nep-int and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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