Real Exchange Rates in Central and Eastern Europe: What Scope for the Underlying Fundamentals?

Gilles Dufrénot () and Balázs Égert

Development and Comp Systems from University Library of Munich, Germany

Abstract: The aim of this paper is to study the the fundamental macroeconomic determinants of both the CPI and the PPI-based real effective exchange rate in 5 selected acceding countries from Central and Eastern Europe, i.E the Czech Republic, Hungary, Poland, Slovakia and Slovenia. The paper is based on the combination of two approaches widely used for transition economies, namely the Behavioral Equilibrium Exchange Rate (BEER) and the Structural VAR. Indeed, a cointegration approach is adopted and the estimated VECM model attempts to connect in a structural way the real effective exchange rate to labor productivity, the relative price of non-tradable goods, public deficit and the current account position. Impulse response functions are subsequently employed to investigate how shock in the underlying fundamentals impacts on the effective real exchange rates.

JEL-codes: C32 F41 P33 (search for similar items in EconPapers)
Date: 2003-09-03
New Economics Papers: this item is included in nep-eec, nep-ifn, nep-rmg and nep-tra
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Citations: View citations in EconPapers (2)

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Working Paper: Real Exchange Rates in Central and Eastern Europe: What Scope for the Underlying Fundamentals? (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpdc:0309002

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