Cyclical Relationship Between Exchange Rates and Macro-Fundamentals in Central And Eastern Europe

摘要

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.Sa?etakDonosimo empirijske dokaze poslovnog ciklusa odnosno veze izme?u nominalnog i stvarnog efektivnog te?aja, realnog BDP-a, potro?nje, investicija, izvoza, uvoza i op?eg vladinog duga za grupu od deset zemalja centralne i isto?ne Europe. Koristili smo popre?nu korelaciju na cikli?ki filtriranim i sezonski prilago?enim kvartalnim vremenskim serijama u periodu od 1998 do 2010. Rezultati se razlikuju po intenzitetu, smjeru i cikli?nosti no pokazuju op?enitu slabu vezu izme?u te?ajnih stopa i fundamenata. Utvr?eni su dovoljno visoki koeficijenti samo za vladin dug i uvoz. Tako?er smo primijenili jednostavne regresije kako bi korelaciju doveli u vezu s otvorenosti i dobrobiti ekonomije. Korelacija izme?u te?ajnih stopa i makroekonomskih agregata stremi ja?oj izra?enosti u manje otvorenim i relativno siroma?nijim zemljama..