The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries

Olga Arratibel (1) , Davide Furceri (2) , Reiner Martin (1) , Aleksandra Zdzienicka-Durand (3)

1 BCE - Banque Centrale Européenne
2 OCDE - Organisation de Coopération et de Développement Economiques = Organisation for Economic Co-operation and Development
3 GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne

This paper analyzes the relation between nominal exchange rate volatility and several macroeconomic variables, namely real per output growth, excess credit, foreign direct investment (FDI) and the current account balance, in the Central and Eastern European EU Member States. Using panel estimations for the period between 1995 and 2008, we find that lower exchange rate volatility is associated with higher growth, higher stocks of FDI, higher current account deficits, and higher excess credit. The results are economically and statistically significant, and robust.

Mots clés: Credit; Current Account; EU; Exchange Rate Volatility; Growth; FDI

Domaines: Economies et finances

Olga Arratibel, Davide Furceri, Reiner Martin, Aleksandra Zdzienicka-Durand. The Effect of Nominal Exchange Rate Volatility on Real Macroeconomic Performance in the CEE Countries. Economic Systems, 2011, 35 (2), pp. 261-277. ⟨halshs-00456606⟩