Exchange Rate Volatility and Growth in Emerging Europe
Exchange Rate Volatility and Growth in Emerging Europe
Author(s): Corina Georgeta BoarSubject(s): Economy, Financial Markets
Published by: EDITURA ASE
Keywords: exchange rate volatility; growth; emerging economies; panel estimation; cointegration;
Summary/Abstract: This paper analyses the in_uence of NEER and REER volatility on growth in a panel of six developing European countries. Two measures of volatility are employed (standard deviation and ARCH/GARCH models) and its in_uence on growth is tested both through a GLS and a GMM estimation. Moreover, given the properties of the time series used, both panel and individual cointegration are tested using the Pedroni and, re-spectively, the Johansen methodology.
Journal: The Review of Finance and Banking
- Issue Year: 2/2010
- Issue No: 2
- Page Range: 103-120
- Page Count: 18
- Language: English
