This paper employs a quantile regression approach to explore the determinants
and properties of international foreign exchange reserves in Serbia and
North Macedonia, at various foreign exchange levels. The observed period
covers quarterly data for 2005q1-2019q1. The results reveal
quantile-dependent determinants of foreign exchange reserves and enable
comparison between the two countries, showing co-movements between monetary
policy and economic fluctuations. Following the estimates obtained in this
research, the paper compares the role of foreign exchange reserves in Serbia
and North Macedonia.
This paper examines the phenomenon of financial euroisation in Serbia,
focusing on the liability side of the banking system. A time series model is
estimated and evaluated using a monthly data sample from January 2007 to
January 2016 for Serbia. The results of this paper show that the mean
pattern of financial euroisation in Serbia is determined by the exchange
rate, inflation, and the interest rate differential. Financial euroisation
in Serbia is found to be volatile and to exhibit a clustering pattern. Of
the estimated and tested models the ARCH (1) model is found to be best
suited to explain the volatile behaviour pattern of financial euroisation in
Serbia.
This paper brings releationship between real effective exchange rate and industry production in Croatia. Research sample consists of monthly data from January 2000 up to June 2019. Following wavelet coherence approach, empirical results reveal the relationship across time and frequency domain. The empirical obtained from wavelet coherence analysis and confirmed with conventional correlation analysis suggested positive relationship between industrial productivity and real effective exchange rate in Croatia, with depreciation as a factor of positive influence on industrial productivity. Research results provided in the paper also contributes to the debate on exchange rate policy in Croatia, extending the discussion on national exchange rate policy implications.
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