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Exchange Rate Volatility and Growth in Emerging Europe

Author

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  • Corina Georgeta Boar

    (Academia de Studii Economice / Facultatea de Finante, Asigurari, Banci si Burse de Valori)

Abstract

This paper analyses the in_uence of NEER and REER volatility on growth in a panel of six developing European countries. Two measures of volatility are employed (standard deviation and ARCH/GARCH models) and its in_uence on growth is tested both through a GLS and a GMM estimation. Moreover, given the properties of the time series used, both panel and individual cointegration are tested using the Pedroni and, re-spectively, the Johansen methodology.

Suggested Citation

  • Corina Georgeta Boar, 2010. "Exchange Rate Volatility and Growth in Emerging Europe," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 2(2), pages 103-120, December.
    • Handle: RePEc:rfb:journl:v:02:y:2010:i:2:p:103-120
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    Cited by:

    1. Aihua Wang & Faruk Balli & Xiumin Li, 2015. "Possible Best Currency Basket Selection from the Perspective of Real Effective Exchange Rate," Pacific Economic Review, Wiley Blackwell, vol. 20(4), pages 635-650, October.
    2. Comunale, Mariarosaria, 2017. "Dutch disease, real effective exchange rate misalignments and their effect on GDP growth in EU," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 350-370.
    3. Victor Shevchuk & Roman Kopych, 2021. "Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries," Risks, MDPI, vol. 9(5), pages 1-19, May.

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