Naslov (eng)

Dynamics of the real exchange rate in European emerging economies : evidence from quantile regression

Autor

Mladenović, Zorica
Bodor, Slađana

Opis (eng)

Abstract: The sustainability of purchasing power parity (PPP) theory is examined within the quantile autoregression model for the monthly data of the euroand the US dollar-based real exchange rate (RER) in selected European economies (the Czech Republic, Hungary, Poland, Romania, Serbia and Turkey). Period from January 2000 to December 2014 is covered. The application of quantile autoregression model is motivated by the necessity of identifying asymmetric behavior of the RER due to the shocks of different size and sign. The empirical results support to some extent the PPP theory for the euroand US dollar-based RER in Romania, Serbia, and Turkey. The euro-based RER in Hungary and Poland is also identified to confirm the PPP theory. The dynamics of the RER in the Czech Republic cannot be associated with the PPP validity. The persistence of the euro-based RER is estimated to be more prominent after the depreciation shocks of smaller size.

Jezik

engleski

Datum

2020

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: purchasing power parity; real exchange rate; quantile regression model

Deo kolekcije (1)

o:28218

Ekonomski fakultet