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

Daniel Stavarek

MPRA Paper from University Library of Munich, Germany

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.

Keywords: business cycle; cross correlation; exchange rate; macroeconomic fundamental; openness; wealth (search for similar items in EconPapers)
JEL-codes: E32 E44 F31 (search for similar items in EconPapers)
Date: 2013-03-21
New Economics Papers: this item is included in nep-mac, nep-mon, nep-opm and nep-tra
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Cyclical Relationship Between Exchange Rates and Macro-Fundamentals in Central And Eastern Europe (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:45327

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