Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications

Coricelli, Fabrizio; Jazbec, Boštjan; Masten, Igor

doi:10.1016/j.jbankfin.2005.07.003

Cited by 49 publications

(24 citation statements)

References 27 publications

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“…This shows furthermore that the flexible exchange rate is a potential source of the inflation in Western Balkans countries. This result is consistent with previous studies, for example Kuijs (2002), Ganev et al, (2002), Coricelli at al., (2005), Bailliu and Fujii (2005), Fetai (2013). The result shows that the flexible exchange rate is the main source of the inflationary pressures in Western Balkans countries.…”

Section: Methodssupporting

confidence: 94%

“…Artis and Ehrman (2006) who investigated the symmetric and asymmetric shocks for Denmark, Sweden, Canada and the United Kingdom also arrived at a similar conclusion. On the other hand, the study by Coricelli et al (2005) found no shock-absorbing role of exchange rates in the Check Republic, Hungary, Poland and Slovenia. The analysis by Borghijs and Kuijs (2004) for Central European countries found exchange rates to be less helpful propagator of monetary and financial shocks compared to serving a useful absorber of the real shocks.…”

Section: Introductionmentioning

confidence: 87%

See 1 more Smart Citation

The relationship between exchange rate and inflation: the case of Western Balkans Countries

Fetai¹,

Koku²,

Caushi³

et al. 2016

Pressacademia

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The paper investigates empirically the relationships between exchange rates and inflation in Western Balkan countries. The literature on the transition countries has recently focused on exchange rate as a shock absorber and downplayed its costs to macroeconomic stabilization. However, the decision to apply a different exchange rate regime depends on the costs and benefits in giving up an exchange rate instrument. With this in mind, the objective of this study is to determine whether fixed exchange rates play a significant role in inflationary performance or whether flexible exchange rates perform as a better shock-absorbing instrument in the Western Balkans. The result reveals that an exchange rate is still the main source of inflationary pressures in Western Balkan countries. Thus policy makers must weigh the relative costs and benefits associated with introducing a flexible exchange rate in small open economies because such regime is likely to incur more costs than benefits.

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Section: Methodssupporting

confidence: 94%

Section: Introductionmentioning

confidence: 87%

The relationship between exchange rate and inflation: the case of Western Balkans Countries

Fetai¹,

Koku²,

Caushi³

et al. 2016

Pressacademia

View full text Add to dashboard Cite

show abstract

“…Increased foreign exchange volatility may also dampen the pass-through from exchange rate to inflation, which may have a potentially negative impact on the ongoing process of convergence in prices to EU15 levels. Specifically, increased volatility associated with a more flexible exchange rate regime, together with the inflation targeting framework, may break the link between exchange rate and prices by disconnecting primarily non-tradable goods from the exchange rate (Coricelli, Jazbec, and Masten, 2006).…”

Section: Discussionmentioning

confidence: 99%

Exchange rate volatility and regime change: A Visegrad comparison

Kočenda

Valachy

2006

Journal of Comparative Economics

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Abstract:We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes volatility was to a large extent driven by surprises. Degree of persistence in exchange rate volatility is high, differs with respect to currency, but stays at a similar level under the floating regime. Asymmetric news effect tends to decrease volatility under the float. Interest differential contemporaneously impacts exchange rate volatility under either regime, while the interest differential intertemporal effect is not found. Accordingly we draw policy implications.

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“…Kim et al (2005) find that the European stock markets have become more integrated after the EMU. 15 Coricelli et al (2006) investigate the decision of the new EU countries to adopt the euro. 16 McKinnon (2004) analyzes the role of the credibility of the euro as a stable currency.…”

Section: H2: Asset Class Effectsmentioning

confidence: 99%

Extreme coexceedances in new EU member states’ stock markets

Christiansen

Ranaldo

2009

Journal of Banking & Finance

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JEL classification: C25 F36 G15 Keywords: Financial market integration Comovement Emerging markets EU enlargement EU member states Extreme returns New EU member states Stock markets a b s t r a c tWe analyze the financial integration of the new European Union (EU) member states' stock markets using the negative (positive) coexceedance variable that counts the number of large negative (large positive) returns on a given day across the countries. A similar analysis is performed for the old EU countries. We use a multinomial logit model to investigate how persistence, asset classes, and volatility are related to the coexceedance variables. We find that the effects differ (a) between negative and positive coexceedance variables (b) between old and new EU member states, and (c) before and after the EU enlargement in 2004, suggesting a closer connection of new EU stock markets to those in Western Europe.

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Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications

Cited by 49 publications

References 27 publications

The relationship between exchange rate and inflation: the case of Western Balkans Countries

The relationship between exchange rate and inflation: the case of Western Balkans Countries

Exchange rate volatility and regime change: A Visegrad comparison

Extreme coexceedances in new EU member states’ stock markets

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