Exchange Rates in Central Europe: A Blessing or a Curse?

Borghijs, Alain; Kuijs, Louis

doi:10.2139/ssrn.878825

Cited by 11 publications

(4 citation statements)

References 8 publications

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“…The degree of similarity is smaller for the Czech koruna, the Hungarian forint, and the Slovenian tolar, while volatility in the Polish zloty is correlated with the euro the least. The finding that the long-run volatility trend in the Polish zloty differs somewhat from that in other CEE currencies is consistent with Borghijs and Kuijs's (2004) conclusion that in Poland the exchange rate plays a more significant role as a shock absorber than in other economies in the region, possibly reflecting the relatively large size of the Polish economy and the smaller degree of trade openness, compared to the neighboring countries. The degree of commonality in the long-run volatility trend of the Slovak koruna and other CEE currencies and the euro appears to have increased in recent years, suggesting increasing regional integration of the Slovak economy.…”

Section: Discussionsupporting

confidence: 82%

“…• The degree of commonality in the long-run trends of the PLN and other CEE currencies is weaker than in the long-run trends of these other CEE currencies. The PLN appears to react differently to shocks than other CEE currencies, consistent with the findings in Borghijs and Kuijs (2004), who show that the shock-absorbing role of the PLN differs from that of other regional currencies. The second component is strongly correlated with the PLN and HUF, suggesting close linkages in these currencies.…”

Section: B Is There a Common Volatility Trend In Central And East Eur...supporting

confidence: 88%

“…The sampling period covers the time period during which CEE countries had an exchange rate regime flexible enough to render the analysis meaningful (Borghijs and Kuijs, 2004). For the Czech Republic, the sample period starts in February 1996, when the authorities replaced the exchange-rate peg with a band of ± 7.5 percent.…”

Section: Datamentioning

confidence: 99%

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Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Pramor

Tamirisa²

2006

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic and financial structures of these economies. Nonetheless, the degree of commonality remains weaker than what had been found for major European currencies before the introduction of the euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the Hungarian forint, which remains a source of volatility shocks to regional currencies.

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Section: Discussionsupporting

confidence: 82%

Section: B Is There a Common Volatility Trend In Central And East Eur...supporting

confidence: 88%

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Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Pramor

Tamirisa²

2006

IMF Working Papers

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“…Egert and Lahrèche-Révil (2003) concluded that the Polish, Czech and Slovenian exchange rates were out of equilibrium, and De Haan, Berger, and van Fraasen (2001) argued that, while Estonia's D-Mark based currency board was very much in line with the criteria for an optimal monetary regime, Lithuania's initial choice of a U.S.-dollar based currency board was not. 8 For the Czech Republic, Hungary, Poland, the Slovak Republic, and Slovenia, Borghijs and Kuijs (2004) found that the exchange rate responded little to shocks that affected output.…”

Section: Exchange Rate Strategymentioning

confidence: 99%

Decomposing Financial Risks and Vulnerabilities in Eastern Europe

Worrell

Maechler²,

Mitra³

2007

IMF Working Papers

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This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper assesses how various types of financial risk such as credit risk, market risk, and liquidity risk affect banking stability in the ten countries that joined the European Union most recently, and eight neighboring countries. It also examines how the quality of supervisory standards may have mitigated the vulnerabilities arising from these risk factors. Using panel data, the study finds substantial variation in the impacts of financial risks, the macroeconomic environment, and supervisory standards on banks' risk profile across different country clusters. Credit quality is of general concern especially in circumstances where credit growth is accelerating.

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Sources of asymmetric shocks: The exchange rate or other culprits?

Skořepa

Komarek

2015

Economic Systems

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We analyze and quantify the determinants of medium-term real exchange rate (RER) changes. First, we discuss sources of asymmetric shocks causing exchange rate variability and the role of the RER as a shock absorber or generator. Second, we use data for 21 advanced and late-transition economies to gauge the extent to which medium-term bilateral real exchange rate variability can be explained by various fundamental factors. Using Bayesian model averaging, we find that out of 22 factors under consideration, four types of dissimilarities within a given pair of economies are likely to be included in the true model: dissimilarities as regards (i) financial development, (ii) per capita income growth, (iii) central bank autonomy, and (iv) the structure of the economy. A regression based on these four factors indicates that these factors explain about 96 percent of the sample average level of the three-year RER variability. In the logic of our approach, the remaining part of the total variability represents an upper estimate of the influence of the foreign exchange market itself. For our sample, then, the contribution of the real exchange rate itself to asymmetric shocks appears to be very low. JEL Codes:E52, E62, F31

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Exchange Rates in Central Europe: A Blessing or a Curse?

Cited by 11 publications

References 8 publications

Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Decomposing Financial Risks and Vulnerabilities in Eastern Europe

Sources of asymmetric shocks: The exchange rate or other culprits?

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