IDEAS home Printed from https://ideas.repec.org/p/zbw/bofitp/bdp2005_008.html
   My bibliography  Save this paper

Exchange rate regimes, foreign exchange volatility and export performance in Central and Eastern Europe: just another blur project?

Author

Listed:
  • Égert, Balázs
  • Morales-Zumaquero, Amalia

Abstract

This paper attempts to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies as well as its indirect impact via changes in exchange rate regimes.Not only aggregate but also bilateral and sectoral export flows are studied.To this end, we first analyze shifts in exchange rate volatility linked to changes in the exchange rate regimes and second, use these changes to construct dummy variables we include in our export function.The results suggest that the size and the direction of the impact of forex volatility and of regime changes on exports vary considerably across sectors and countries and that they may be related to specific periods.

Suggested Citation

  • Égert, Balázs & Morales-Zumaquero, Amalia, 2005. "Exchange rate regimes, foreign exchange volatility and export performance in Central and Eastern Europe: just another blur project?," BOFIT Discussion Papers 8/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2005_008
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/212560/1/bofit-dp2005-008.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jeffrey Frankel & David Parsley & Shang-Jin Wei, 2012. "Slow Pass-through Around the World: A New Import for Developing Countries?," Open Economies Review, Springer, vol. 23(2), pages 213-251, April.
    2. Matthieu Bussière & Jarko Fidrmuc & Bernd Schnatz, 2005. "Trade Integration of Central and Eastern European Countries: Lessons from a Gravity Model," Working Papers 105, Oesterreichische Nationalbank (Austrian Central Bank).
    3. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2004. "Some cautions on the use of panel methods for integrated series of macroeconomic data," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 322-340, December.
    4. Klein, Michael W., 1990. "Sectoral effects of exchange rate volatility on United States exports," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 299-308, September.
    5. SaangJoon Baak, 2004. "Exchange Rate Volatility and Trade among the Asia Pacific Countries," Econometric Society 2004 Far Eastern Meetings 724, Econometric Society.
    6. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    7. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    8. Nauro F. Campos & Yuko Kinoshita, 2002. "Foreign Direct Investment as Technology Transferred: Some Panel Evidence from the Transition Economies," Manchester School, University of Manchester, vol. 70(3), pages 398-419, June.
    9. Fountas, Stilianos & Aristotelous, Kyriacos, 1999. "Has the European Monetary System led to more exports? Evidence from four European Union countries," Economics Letters, Elsevier, vol. 62(3), pages 357-363, March.
    10. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    11. Wei, Shang-Jin, 1999. "Currency hedging and goods trade," European Economic Review, Elsevier, vol. 43(7), pages 1371-1394, June.
    12. Ray Barrell & Dawn Holland, 2000. "Foreign Direct Investment and Enterprise Restructuring in Central Europe," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(2), pages 477-504, July.
    13. Oxana Babetskaia-Kukharchuk & Mathilde Maurel, 2004. "Russia's Accession to the WTO: what potential for trade increase," Post-Print halshs-00445907, HAL.
    14. Baak, Saang Joon, 2004. "Exchange Rate Volatility and Trade among the Asia Pacific Countries," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 8(1), pages 93-115, June.
    15. Baldwin, Richard, 1988. "Hyteresis in Import Prices: The Beachhead Effect," American Economic Review, American Economic Association, vol. 78(4), pages 773-785, September.
    16. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
    17. Paul De Grauwe, 1988. "Exchange Rate Variability and the Slowdown in Growth of International Trade," IMF Staff Papers, Palgrave Macmillan, vol. 35(1), pages 63-84, March.
    18. Gagnon, Joseph E., 1993. "Exchange rate variability and the level of international trade," Journal of International Economics, Elsevier, vol. 34(3-4), pages 269-287, May.
    19. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
    20. Arize, Augustine C. & Osang, Thomas & Slottje, Daniel J., 2008. "Exchange-rate volatility in Latin America and its impact on foreign trade," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 33-44.
    21. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    22. Klaassen, Franc, 2004. "Why is it so difficult to find an effect of exchange rate risk on trade?," Journal of International Money and Finance, Elsevier, vol. 23(5), pages 817-839, September.
    23. Babetskaia-Kukharchuk, Oxana & Maurel, Mathilde, 2004. "Russia's accession to the WTO: the potential for trade increase," Journal of Comparative Economics, Elsevier, vol. 32(4), pages 680-699, December.
    24. Mckenzie, Michael D., 1998. "The impact of exchange rate volatility on Australian trade flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 21-38, January.
    25. repec:bla:obuest:v:61:y:1999:i:0:p:653-70 is not listed on IDEAS
    26. Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June.
    27. Vladimir Benacek & Ladislav Prokop & Jan A. Visek, 2003. "Determining Factors of the Czech Foreign Trade Balance: Structural Issues in Trade Creation," Working Papers 2003/03, Czech National Bank.
    28. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 76-97.
    29. Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
    30. Peter B. Clark, 1973. "Uncertainty, Exchange Risk, And The Level Of International Trade," Economic Inquiry, Western Economic Association International, vol. 11(3), pages 302-313, September.
    31. repec:zbw:bofitp:2004_020 is not listed on IDEAS
    32. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    33. Daria Taglioni, 2002. "Exchange Rate Volatility as a Barrier to Trade: New Methodologies and Recent Evidence," Economie Internationale, CEPII research center, issue 89-90, pages 227-259.
    34. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    35. Michael D. McKenzie, 1999. "The Impact of Exchange Rate Volatility on International Trade Flows," Journal of Economic Surveys, Wiley Blackwell, vol. 13(1), pages 71-106, February.
    36. repec:zbw:bofitp:2005_008 is not listed on IDEAS
    37. SaangJoon Baak, 2004. "Exchange Rate Volatility and Trade among the Asia Pacific Countries Econometric Analysis," Working Papers EMS_2004_02, Research Institute, International University of Japan.
    38. Andrew K. Rose, 2000. "One money, one market: the effect of common currencies on trade," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 15(30), pages 08-45.
    39. Siregar, Reza & Rajan, Ramkishen S., 2004. "Impact of exchange rate volatility on Indonesia's trade performance in the 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 18(2), pages 218-240, June.
    40. Lionel Fontagné & Michael Freudenberg, 1999. "Endogenous Symmetry of Shocks in a Monetary Union," Open Economies Review, Springer, vol. 10(3), pages 263-287, July.
    41. Fidrmuc, Jarko & Korhonen, Iikka, 2004. "A meta-analysis of business cycle correlation between the euro area and CEECs: What do we know - and who cares?," BOFIT Discussion Papers 20/2004, Bank of Finland Institute for Emerging Economies (BOFIT).
    42. Lahcen Achy & Khalid Sekkat, 2003. "The European Single Currency and MENA's Exports to Europe," Review of Development Economics, Wiley Blackwell, vol. 7(4), pages 563-582, November.
    43. Aristotelous, Kyriacos, 2001. "Exchange-rate volatility, exchange-rate regime, and trade volume: evidence from the UK-US export function (1889-1999)," Economics Letters, Elsevier, vol. 72(1), pages 87-94, July.
    44. Doroodian, K., 1999. "Does exchange rate volatility deter international trade in developing countries?," Journal of Asian Economics, Elsevier, vol. 10(3), pages 465-474.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Asif, Raheel & Frömmel, Michael, 2022. "Exchange rate exposure for exporting and domestic firms in central and Eastern Europe," Emerging Markets Review, Elsevier, vol. 51(PA).
    2. Linh T.D. Huynh & Hien Thanh Hoang, 2019. "Effects of exchange rate volatility on bilateral import performance of Vietnam: A dynamic Generalised method of Moments panel approach," International Economic Journal, Taylor & Francis Journals, vol. 33(1), pages 88-110, January.
    3. Manuel CANTAVELLA-JORDA & Sheila Amin GUTIERREZ DE PIÑERES, 2012. "A Cross-national Panel Study of Devaluations on Disaggregated Export Sectors: A Case for Sector Specific Policies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(2).
    4. Bouoiyour, Jamal & Selmi, Refk, 2013. "The controversial link between exchange rate volatility and exports: Evidence from Tunisian case," MPRA Paper 49133, University Library of Munich, Germany, revised Mar 2013.
    5. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2011. "What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 39-61, February.
    6. Bouoiyour, Jamal & Selmi, Refk & Tiwari, Aviral Kumar & Shahbaz, Muhammad, 2015. "The nexus between oil price and Russia's real exchange rate: Better paths via unconditional vs conditional analysis," Energy Economics, Elsevier, vol. 51(C), pages 54-66.
    7. Bouoiyour, jamal & Selmi, Refk, 2014. "Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis," MPRA Paper 59368, University Library of Munich, Germany.
    8. Pelinescu, Elena, 2012. "Transmission Mechanism of Monetary Policy in Romania. Insights into the Economic Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-21, September.
    9. Gabriel Pino & Dilara Tas & Subhash C. Sharma, 2016. "An investigation of the effects of exchange rate volatility on exports in East Asia," Applied Economics, Taylor & Francis Journals, vol. 48(26), pages 2397-2411, June.
    10. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Balázs Égert & Amalia Morales-Zumaquero, 2005. "Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 76-97.
    2. Balázs Égert & Amalia Morales‐Zumaquero, 2008. "Exchange Rate Regimes, Foreign Exchange Volatility, and Export Performance in Central and Eastern Europe: Just another Blur Project?," Review of Development Economics, Wiley Blackwell, vol. 12(3), pages 577-593, August.
    3. repec:zbw:bofitp:2005_008 is not listed on IDEAS
    4. Balogun, Emmanuel Dele, 2009. "Determinants of West African Monetary Zone (WAMZ)countries global export trade: do foreign reserves and independent exchange rates matter?," MPRA Paper 12929, University Library of Munich, Germany.
    5. Balogun, Emmanuel Dele, 2007. "Effects of exchange rate policy on bilateral export trade of WAMZ countries," MPRA Paper 6234, University Library of Munich, Germany.
    6. Balogun, Emmanuel Dele, 2007. "Exchange rate policy and export performance of WAMZ countries," MPRA Paper 6233, University Library of Munich, Germany.
    7. Myint Moe Chit & Marian Rizov & Dirk Willenbockel, 2010. "Exchange Rate Volatility and Exports: New Empirical Evidence from the Emerging East Asian Economies," The World Economy, Wiley Blackwell, vol. 33(2), pages 239-263, February.
    8. Chandan Sharma, 2019. "Exchange rate volatility and exports from India: a commodity-level panel data analysis," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 12(1), pages 23-44, June.
    9. Mauricio Vaz Lobo Bittencourt & Paula Andrea Mosquera Agudelo, 2021. "The impacts of the exchange rate volatility on colombian trade with its main trade partners," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 18(2), pages 57-81, Julio-Dic.
    10. Pabai Fofanah, 2020. "Effects of Exchange Rate Volatility on Trade: Evidence from West Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 12(3), pages 32-52.
    11. Chandan Sharma & Debdatta Pal, 2019. "Does Exchange Rate Volatility Dampen Imports? Commodity-Level Evidence From India," International Economic Journal, Taylor & Francis Journals, vol. 33(4), pages 696-718, October.
    12. Don Bredin & Stilianos Fountas & Eithne Murphy, 2003. "An Empirical Analysis of Short-run and Long-run Irish Export Functions: Does exchange rate volatility matter?," International Review of Applied Economics, Taylor & Francis Journals, vol. 17(2), pages 193-208.
    13. Nishimura, Yusaku & Hirayama, Kenjiro, 2013. "Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform in China," Japan and the World Economy, Elsevier, vol. 25, pages 90-101.
    14. Siregar, Reza & Rajan, Ramkishen S., 2004. "Impact of exchange rate volatility on Indonesia's trade performance in the 1990s," Journal of the Japanese and International Economies, Elsevier, vol. 18(2), pages 218-240, June.
    15. Yusaku Nishimura & Bianxia Sun, 2018. "China’s Exchange-Rate Regime Reform and Trade Between China and the Eurozone," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(2), pages 450-467, January.
    16. Naseeem, N.A.M & Tan, Hui & Mohd, Siti, 2010. "Exchange Rate Regime, Exchange Rate Variability and Flows of Malaysia’s Foreign Trade," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 44, pages 35-49.
    17. Shaista Alam & Qazi Masood Ahmed & Muhammad Shahbaz, 2017. "Exchange Rate Volatility and Pakistan’s Exports to Major Markets: A Sectoral Analysis," Global Business Review, International Management Institute, vol. 18(6), pages 1507-1519, December.
    18. Anmar Pretorius & Heinrich Nel, 2018. "Disentangling the exchange rate risk, sectoral export flows and financial development nexus," Working Papers 733, Economic Research Southern Africa.
    19. Nabi, Amina Ghulam & Khan, Usman Ullah, 2015. "Exchange Rate Volatility and Import Demand Function: A Comparative Analysis of Selected SAARC Countries," MPRA Paper 105066, University Library of Munich, Germany.
    20. Hasanov Akram, 2011. "Exchange rate risk and trade flows: the case of Belarus, Kazakhstan, Russia, and Ukraine," EERC Working Paper Series 11/09e, EERC Research Network, Russia and CIS.
    21. Auboin, Marc & Ruta, Michele, 2013. "The relationship between exchange rates and international trade: a literature review," World Trade Review, Cambridge University Press, vol. 12(3), pages 577-605, July.

    More about this item

    Keywords

    exchange rate volatility; export; trade; transition; structural breaks;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:bofitp:bdp2005_008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/bofitfi.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.