Flexible Exchange Rates as Shock Absorbers in Central and Eastern Europe

• Authors: Viktor Shevchuk

Title variants

PL

Właściwości amortyzacyjne płynnego kursu walutowego w gospodarkach Europy Środkowej i Wschodniej

• Languages of publication: EN

Abstracts

EN

Considering the merits of the flexible exchange rate and its ability to absorb asymmetric macroeconomic shocks, results on the basis of a two-variable SVAR model suggest that this ability was lacking in both Hungary and Romania, as regardless of the data used more than 80% of variability in the nominal (real) exchange rate over a four-quarter horizon can be explained by neutral structural shock. Variability in output is determined mainly by non-neutral (permanent) structural shocks. As for Poland and, to a lesser extent, the Czech Republic, the evidence supporting the stabilising properties are somewhat stronger, with up to 30% to 40% of changes in the nominal (real) exchange rate being explained by the permanent (output) shock. However, the results are sensitive to the data used.

PL

Biorąc pod uwagę znane zalety kursu płynnego jako amortyzatora niekorzystnych wstrząsów makroekonomicznych, otrzymane rezultaty na podstawie modelu SVAR z dwoma zmiennymi sugerują, że oczekiwane teoretycznie korzyści od większej giętkości kursu walutowego nie są obserwowane dla Węgier i Rumunii, ponieważ więcej niż 80% zmienności nominalnego (realnego) kursu walutowego w obrębie roku jest wyjaśnione przez neutralny wstrząs strukturalny. Jednocześnie zmienność produkcji zależy głównie od własnych wstrząsów permanentnych. Świadczenia na korzyść stabilizacyjnych właściwości kursu walutowego są bardziej wiarygodne dla Polski i Czech (w mniejszym stopniu), gdzie od 30% do 40% zmian nominalnego (realnego) kursu walutowego można tłumaczyć permanentnymi wstrząsami ze strony sektora realnego. Otrzymane wyniki zależą jednak od wykorzystanych danych.

Keywords

EN

exchange rate regime; SVAR; the Blanchard-Quah decomposition; transformation economies

PL

system kursu walutowego; SVAR; dekompozycja Blancharda-Quah; gospodarki transformacyjne

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2015
• Issue: 5(941)
• Pages: 17-35

Contributors

author

Viktor Shevchuk

• Politechnika Krakowska, Wydział Fizyki, Matematyki i Informatyki, Instytut Ekonomii, Socjologii i Filozofii, ul. Warszawska 24, 31-155 Kraków, Poland

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Identifiers

DOI

10.15678/ZNUEK.2015.0941.0502