PECULARITIES OF CEE COUNTRIES EXCHANGE RATE VOLATILITY. EMPIRICAL EVIDENCE UNDER THE INTERFERENCE BETWEEN TRANSITORY AND PERMANENT DIMENSIONS
Cristina Morar Triandafil () and
Petre Brezeanu ()
Theoretical and Applied Economics, 2008, vol. 12(517)(supplement), issue 12(517)(supplement), 109-116
This paper focuses on CEE countries volatility captured by exchange rate dynamic. The spillover phenomenon is analyzed from the perspective of the actual financial crisis where cross-border capital flows strenghthened the premises of the financial contagion. Volatility will be approached bi-dimensionally, from the perspective of the permanent and transitory dimensions. We conclude that volatility is long-term nature at the level of CEE countries, with a certain degree of pecularity in terms of shock reaction. The key result of the research consists of a deep correlation at the level of the exchange rate volatility between CEE countries and EURO zone, implying the necessity to develop strong financial management strategies at the macroeconomic level, capable of annihilating the transmision belt crisis mechanisms.
Keywords: volatility; component; transitory; permanent; spillover. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:12(517)(supplement):y:2008:i:12(517)(supplement):p:109-116
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