Real exchange rates in Central and Eastern Europe: What scope for the underlying fundamentals?

Emerging Markets Finance and Trade

Volumn 41, Issue 2, 2005, Pages 41-59

  Dufrenot, Gilles ^a   Égert, Balázs ^b  

^a UNIVERSITÉ PARIS EST CRÉTEIL   (France)

^b OESTERREICHISCHE NATIONALBANK   (Austria)

Author keywords

Balassa Samuelson effect; Cointegration analysis; Real exchange rates; Transition economies; Trend appreciation

Indexed keywords

EID: 20744433348     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1540496x.2005.11052601     Document Type: Article

References (34)

1. Backe, P.; J. Fidrmuc; T. Reininger; and F. Schardax. 2003. "Price Dynamics in Central and Eastern European EU Accession Countries." Emerging Markets Finance and Trade 39, no. 3: 42-78.
2. Begg, D.; L. Halpern; and C. Wyplosz. 1999. "Monetary and Exchange Rate Policies, EMU and Central and Eastern Europe." Forum Report on the Economic Policy Initiative no. 5, CEPR, London.
3. Brada, J.C. 1998. "Introduction: Exchange Rates, Capital Flows and Commercial Policies in Transition Economies." Journal of Comparative Economics 26, no. 4 (December): 613-620.
4. Clark, P.B., and R. MacDonald. 1999. "Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs." In Equilibrium Exchange Rates, ed. R. MacDonald and J. Stein, pp. 285-322. London: Kluwer Academic.
5. Coricelli, F., and B. Jazbec. 2001. "Real Exchange Rate Dynamics in Transition Economies." Discussion Paper Series no. 2869, Centre for Economic Policy Research, London.
6. Coudert, V., and C. Couharde. 2002. "Exchange Rate Regimes and Sustainable Parities for CEECs in the Run-up to EMU Membership." Working Paper no. 15, Centre d'Etudes Prospectives et d'Informations Internationales (CEPII), Paris.
7. Csajbók, A., and M.A. Kovács. 2002. "PEER Enough? National Bank of Hungary." National Bank of Hungary, Budapest.
8. De Broek, M., and T. Slok. 2001. "Interpreting Real Exchange Rate Movements in Transition Economies." Working Paper no. 56, International Monetary Fund, Washington, DC.
9. Driver, R., and P. Westaway. 2001. "An Overview of Equilibrium Exchange Rate Measures." Bank of England, London.
10. Edison, H., and D. Pauls. 1993. "Reassessment of the Relationship Between Real Exchange Rates and Real Interest Rates: 1974-1990." Journal of Monetary Economics 31, no. 2: 165-188.
11. Égert, B. 2002. "Investigating the Balassa-Samuelson Hypothesis in the Transition: Do We Understand What We See? A Panel Study. " Economics of Transition 10, no. 2: 273-309.
12. _. 2003. "Nominal and Real Convergence in Estonia: The Balassa-Samuelson (Dis)Connection - Tradable Goods, Regulated Prices and Other Culprits." Bank of Estonia Working Paper Series no. 4, Tallinn.
13. Égert, B., and K. Lommatzsch. 2003. "Equilibrium Exchange Rates in Acceding Countries: How Large Is Our Confidence (Interval)?" Focus on Transition 2: 107-137.
14. Égert, B.; I. Drive; K. Lommatzsch; and C. Rault. 2003. "The Balassa-Samuelson Effect in Central and Eastern Europe: Myth or Reality?" Journal of Comparative Economics 31, no. 3: 552-572.
15. Faruqee, H. 1995. "Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Equilibrium Approach." IMF Staff Papers 42, no. 1: 80-107.
16. Halpern, L., and C. Wyplosz. 1997. "Equilibrium Exchange Rates in Transition Countries." IMF Staff Papers 44, no. 4: 430-461.
17. Harbo, L.; S. Johansen; B. Nielsen; and A. Rahbek. 1998. "Asymptotic Inference in Cointegrating Rank in Partial Systems." Journal of Business Economics and Statistics 16, no. 4: 388-399.
18. Jakab, M.J., and M.A. Kovács. 1999. "Determinants of Real Exchange Rate Fluctuations in Hungary." National Bank of Hungary Working Paper no. 1999/6, Budapest.
19. Johansen, S. 1996. Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models. Oxford: Oxford University Press.
20. Kim, B.Y., and I. Korhonen. 2002. "Equilibrium Exchange Rates in Transition Countries: Evidence from Dynamic Heterogeneous Panel Models." Bank of Finland Institute for Economics in Transition (BOFIT) Discussion Papers no. 15.
21. Kovács, M.A., ed. 2002. "On the Estimated Size of the Balassa-Samuelson Effect in Five Central and Eastern European Countries." National Bank of Hungary Working Paper no. 5, Budapest.
22. Kutan, A.M., and S.E. Dibooglu. 1998. "Sources of Real and Nominal Exchange Rate Fluctuations in Transition Economies." Working Paper no. 1998-022A, Federal Reserve Bank of St. Louis.
23. Lommatzsch, K., and S., Tober. 2002. "What is Behind the Real Appreciation of the Accession Countries' Currencies? An Investigation of the PPI Based Real Exchange Rate." Paper presented at the ICEG conference Exchange Rate Strategies During the EU Enlargement, Budapest, November 27-30.
24. MacDonald, R. 1997. "What Determines Real Exchange Rates: The Long and Short of It." Working Paper no. 97/21, International Monetary Fund, Washington, DC.
25. MacDonald, R., and C. Wójcik. 2004. "Catching Up: The Role of Demand, Supply and Regulated Price Effects on the Real Exchange Rates of Four Accession Countries." Economics of Transition 12, no. 1: 153-179.
26. Maurin, L. 2001. "Fundamental Determinants of RER for Transition Countries." In Economics of Transition: Theory, Experiences and EU-Enlargement, ed. M.H. Stierle and T. Birringer, pp. 427-442. Berlin: Verlag für Wissenschaft und Forschung.
27. Meredith, G., and M.D. Chinn. 1998. "Long-Horizon Uncovered Interest Rate Parity." Working Paper no. 6797, National Bureau of Economic Research, Cambridge, MA.
28. Mihaljek, D. 2002. "The Balassa-Samuelson Effect in Central Europe: A Disaggregated Analysis." Paper presented at ICEG conference Exchange Rate Strategies During the EU Enlargement, Budapest, November 27-30.
29. Mosconi, R. 1998. "MALCOM, the Theory and Practice of Cointegration Analysis in RATS." Libreria Editrice Cafoscarina, Italy.
30. Randveer, M., and M. Rell. 2002. "The Relationship Between Competitiveness and Real Exchange Rate in Estonia." Bank of Estonia Working Paper, Tallinn.
31. Rother, C. 2000. "The Impact of Productivity Differentials on Inflation and the Real Exchange Rate: An Estimation of the Balassa-Samuelson Effect in Slovenia." IMF Country Report, Republic of Slovenia, Selected Issues, 00/56, Washington, DC, pp. 26-39.
32. Šmídková, K. 1998. "Estimating the FEER for the Czech Economy." Institute of Economy Working Paper Series no. 87, Czech National Bank, Prague.
33. Stein, J.L. 1999. "The Evolution of the Real Value of the U.S. Dollar Relative to the G7 Currencies." In Equilibrium Exchange Rates, ed. R. MacDonald and J.L. Stein, pp. 67-102. London: Kluwer Academic.
34. Taylor, M.P., and L. Sarno. 2001. "Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis." Studies in Nonlinear Dynamics & Econometrics 5, no. 3: 153-177.