SOURCES OF EXCHANGE RATE VOLATILITY IN THE EUROPEAN TRANSITION ECONOMIES. EFFECTS OF ECONOMIC CRISIS REVEALED
Rajmund Mirdala ()
Journal of Applied Economic Sciences, 2012, vol. 7, issue 3(21)/ Fall 2012, 270-282
Negative macroeconomic performance issues represent one of the key effects of crisis period. Due to many economic crisis related side effects countries became more vulnerable to various types of endogenous and exogenous shocks. Exchange rates of the European transition economies became much more volatile as a result of increased uncertainty on the financial markets as well as changed behaviour of structural shocks affecting exchange rates path during the crisis period. As a result we expect a contribution of the structural shocks to the exchange rates path has changed. In the paper we analyse sources of exchange rate fluctuations in the European transition economies. We estimate the contribution of nominal, supply and demand shocks to NEER and REER variability implementing SVAR methodology. Long run restrictions are applied to unrestricted VAR model to identify structural shocks. Variance decomposition and impulse-response functions are computed for each individual country for the period 2000-2007 and 2000-2011. Comparison of results for both periods is crucial for identification of the role of economic crisis in determining exchange rate volatility in the European transition economies.
Keywords: exchange rates; exogenous structural shocks; structural vector autoregression; variance decomposition; impulse-response function (search for similar items in EconPapers)
JEL-codes: C32 E52 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Working Paper: Sources of exchange rate volatility in the european transition economies (effects of economic crisis revealed) (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:7:y:2012:i:3(21)_fall2012:p:270
Access Statistics for this article
Journal of Applied Economic Sciences is currently edited by Laura Stefanescu
More articles in Journal of Applied Economic Sciences from Spiru Haret University, Faculty of Financial Management and Accounting Craiova Contact information at EDIRC.
Bibliographic data for series maintained by Laura Stefanescu ().