- Tytuł:
- Sources of Real Exchange Rate Variability in Central and Eastern European Countries: Evidence from Structural Bayesian MSH-VAR Models
- Autorzy:
-
Dąbrowski, Marek A.
Kwiatkowski, Łukasz
Wróblewska, Justyna - Powiązania:
- https://bibliotekanauki.pl/articles/2075254.pdf
- Data publikacji:
- 2020
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
open economy macroeconomics
real exchange rate
real and nominal shocks
Bayesian MS-VAR models
structural VAR models - Opis:
- This paper investigates the relative importance of cost, demand, financial and monetary shocks in driving real exchange rates in four CEE countries over 2000–2018. A two-country New Keynesian open economy model is used as a theoretical framework. In the empirical part, a Bayesian SVAR model with Markov switching heteroscedasticity is employed. The structural shocks are identified on the basis of volatility changes and named with reference to the sign restrictions derived from the economic model. Main findings are fourfold. First, real and financial shocks have similar contributions to real exchange variability, whereas that of monetary shocks is small. Second, financial shocks amplify exchange rate fluctuations stemming from real shocks. Third, even though the exchange rate gaps change over time, they remain quite similar across CEE countries except for Slovakia. Fourth, Slovakia introduced the euro at the time of a relatively large real overvaluation, which subsided after a lengthy adjustment process.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2020, 4; 369-412
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł