Exchange Rate Volatility and Growth in Emerging Europe

Corina Boar

10 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1986Generalized autoregressive conditional heteroskedasticity 2021Econometric Analysis of Panel Data 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors 2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS 1999Spurious regression and residual-based tests for cointegration in panel data

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