Identifying the determinants that cause the value movements of currencies Denar, Kuna and Dinar

Open access

Abstract

This paper aims to evaluate the relationship of real exchange rates of domestic currencies with macroeconomic variables in Macedonia, Croatia and Serbia by using econometric approaches. Macedonia is characterized by the regime of a fixed exchange rate, Croatia is characterized by a managed floating exchange rate, while Serbia is characterized by the regime of a floating exchange rate. The choice of an exchange rate regime is an important aspect of economic management, in order to ensure competitiveness, macroeconomic stability and development. Evaluation of the relationship of Croatian, Macedonian and Serbian real exchange rates is performed by employing the consistent methodology of vector error correction modelling (VECM). According to the results of the analyses of the real exchange rates on the long run, the selected independent variables have long-run causality in case of the real exchange rate of Croatian Kuna. In case of Macedonian Denar and Serbian Dinar the VECM is inappropriate.

If the inline PDF is not rendering correctly, you can download the PDF file here.

  • 1. Bogoev J. Terzijan S. B. Egert B. Petrovska M. (2008). Real exchange rate dynamics in Macedonia: old wisdoms and new insights. Available at http://www.economics-ejournal.org/economics/journalarticles/2008-18 [08 September 2018].

  • 2. Broda. C. (2004). Terms of trade and exchange rate regimes in developing countries. Journal of international economics Vol. 63. pp. 31-58.

  • 3. Brooks. C. (2014). Introductory econometrics for finance. Cambridge university press.

  • 4. Bukovšak M. Ćardić G.L. Ranilović N. (2017). Structure of capital flows and exchange rate: The case of Croatia. Available at https://www.hnb.hr/documents/20182/2030174/w-052.pdf/23163f57-2b6f-4f39-81b9-014c4304892b [08 September 2018].

  • 5. Chinn M. D. (2006). Real Exchange Rates. University of Wisconsin Madison and National Bureau of Economic Research.

  • 6. Faruqee. H. (1995). Long-run determinants of the real exchange rate: A stock flow perspective. International Monetary Fund Staff papers Vol. 42 No. 1 pp. 80-107.

  • 7. Ghura D. Grennes T. J. (1993). The real exchange rate and macroeconomic performance in Sub-Saharan Africa. Journal of development economics Vol. 42 pp.155-174.

  • 8. Greenaway D. Bleaney M. (2001). The impact of terms of trade and real exchange rate volatility on investment and growth in Sub-Saharan Africa. Journal of development economics Vol. 65 pp. 491-500.

  • 9. Herzer D. Vollmer S. (2012). Inequality and growth: evidence from panel cointegration. The Journal of Economic Inequality Vol. 10 No. 4 pp. 489-503.

  • 10. Johansen. S. (1988). Statistical analysis of cointegration vectors. Journal of economic dynamics and control Vol. 12 No. 2-3 pp. 231-254.

  • 11. Johansen. S. (2000). Modelling of cointegration in the vector autoregressive model. Economic modelling Vol. 17 No. 3 pp. 359-373.

  • 12. Josifidis K. Allegret J. P. Pucar E. B. (2009). Monetary and exchange rate regimes changer: The Cases of Poland Czech Republic Slovakia and Republic of Serbia. Panoeconomicus Vol. 2. pp. 199-226.

  • 13. Mussa. M. (1986). Nominal exchange rates regimes and the behaviour of real exchange rates: Evidence and Implications. Carnegie – Rochester Conference Series on Public Policy Vol. 25 pp. 117-214.

  • 14. Vienna Institute for International Economic Studies (2018). Monthly database. Available at https://data.wiiw.ac.at/monthly-database.html [08 September 2018].

Search
Journal information
Metrics
All Time Past Year Past 30 Days
Abstract Views 0 0 0
Full Text Views 130 130 7
PDF Downloads 76 76 1