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The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

Author

Listed:
  • Olga Arratibel

    (BCE - Banque Centrale Européenne - Banque Centrale Européenne)

  • Davide Furceri

    (OCDE - Organisation de Coopération et de Développement Economiques = Organisation for Economic Co-operation and Development)

  • Reiner Martin

    (BCE - Banque Centrale Européenne - Banque Centrale Européenne)

  • Aleksandra Zdzienicka-Durand

    (GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne - ENS de Lyon - École normale supérieure de Lyon - UL2 - Université Lumière - Lyon 2 - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.

Suggested Citation

  • Olga Arratibel & Davide Furceri & Reiner Martin & Aleksandra Zdzienicka-Durand, 2011. "The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries," Post-Print halshs-00456606, HAL.
    • Handle: RePEc:hal:journl:halshs-00456606
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00456606
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    Keywords

    Credit; Current Account; EU; Exchange Rate Volatility; Growth; FDI;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F5 - International Economics - - International Relations, National Security, and International Political Economy

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