The role of exchange rate dynamics in Bulgaria and Romania in
the process of economic transition

D 2014

The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition

NĚMEC, Daniel a Libor ŽÍDEK

Základní údaje

Originální název

The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition

Autoři

NĚMEC, Daniel a Libor ŽÍDEK

Vydání

Olomouc, 32nd International Conference Mathematical Methods in Economics Conference Proceedings, od s. 709-714, 6 s. 2014

Nakladatel

Palacký University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Odkazy

Conference proceedings

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/14:00076450

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-244-4209-9

UT WoS

000356417900122

Klíčová slova anglicky

Bulgaria; Rumania; exchange rate pass-through; structural vector autoregression; Cholesky decomposition

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 22. 9. 2017 15:42, doc. Ing. Daniel Němec, Ph.D.

Anotace

V originále

Our contribution focuses on the role of the exchange rate changes in Bulgaria and Romania during the transition process toward a market economy. We are interested in the degree of exchange rate pass-through to the domestic inflation in these countries. Both of the countries suffered from a high level of inflation and tried to fix their exchange rates in some of the periods. But they were forced to abandon it consequently and it was often followed by sharp depreciation. The goal of our contribution is to evaluate shock absorbing role of the exchange rate changes. We try to verify a traditional hypothesis that exchange rate adjustments are able to accommodate the shocks hitting the economy and to dampen their influence on the other macroeconomic variables. On the other hand, exogenous shocks in the foreign countries may affect exchange rate and lead to additional volatility of the main economic indicators in the domestic economy. This shock generating role of the exchange rate will be evaluated as well. We will use structural vector autoregression models identified by Cholesky decomposition.

Návaznosti

MUNI/A/0811/2013, interní kód MU

Název: Hospodářská politika v EU a ČR

Investor: Masarykova univerzita, Hospodářská politika v EU a ČR, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Přiložené soubory

MME2014_NEMEC_ZIDEK_uprava_po_recenzi.docx

Citovat

NĚMEC, Daniel a Libor ŽÍDEK. The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition. In Talašová, J., Stoklasa, J., Talášek, T. 32nd International Conference Mathematical Methods in Economics Conference Proceedings. Olomouc: Palacký University, 2014, s. 709-714. ISBN 978-80-244-4209-9.

@inproceedings{1197940,
   author = {Němec, Daniel and Žídek, Libor},
   address = {Olomouc},
   booktitle = {32nd International Conference Mathematical Methods in Economics Conference Proceedings},
   editor = {Talašová, J., Stoklasa, J., Talášek, T.},
   keywords = {Bulgaria; Rumania; exchange rate pass-through; structural vector autoregression; Cholesky decomposition},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Olomouc},
   isbn = {978-80-244-4209-9},
   pages = {709-714},
   publisher = {Palacký University},
   title = {The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition},
   url = {http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf},
   year = {2014}
}

TY  - CONF
ID  - 1197940
AU  - Němec, Daniel - Žídek, Libor
PY  - 2014
TI  - The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition
PB  - Palacký University
CY  - Olomouc
SN  - 9788024442099
KW  - Bulgaria
KW  - Rumania
KW  - exchange rate pass-through
KW  - structural vector autoregression
KW  - Cholesky decomposition
UR  - http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
L2  - http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
N2  - Our contribution focuses on the role of the exchange rate changes in Bulgaria and Romania during the transition process toward a market economy. We are interested in the degree of exchange rate pass-through to the domestic inflation in these countries. Both of the countries suffered from a high level of inflation and tried to fix their exchange rates in some of the periods. But they were forced to abandon it consequently and it was often followed by sharp depreciation. The goal of our contribution is to evaluate shock absorbing role of the exchange rate changes. We try to verify a traditional hypothesis that exchange rate adjustments are able to accommodate the shocks hitting the economy and to dampen their influence on the other macroeconomic variables. On the other hand, exogenous shocks in the foreign countries may affect exchange rate and lead to additional volatility of the main economic indicators in the domestic economy. This shock generating role of the exchange rate will be evaluated as well. We will use structural vector autoregression models identified by Cholesky decomposition.
ER  -

NĚMEC, Daniel a Libor ŽÍDEK. The role of exchange rate dynamics in Bulgaria and Romania in the process of economic transition. In Talašová, J., Stoklasa, J., Talášek, T. \textit{32nd International Conference Mathematical Methods in Economics Conference Proceedings}. Olomouc: Palacký University, 2014, s.~709-714. ISBN~978-80-244-4209-9.

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