Suchergebnisse

The purpose of the paper is to evaluate the validity of purchasing power
parity (PPP) for eight countries from the Emerging Europe: Hungary, Czech
Republic, Poland, Romania, Lithuania, Latvia, Serbia and Turkey. Monthly data
for euro and U.S. dollar based real exchange rate time series are considered
covering the period: January, 2000 - August, 2011. Given significant changes
in these economies in this sample it seems plausible to assume that real
exchange time series are characterized by more than one time structural
break. In order to endogenously determine the number and type of breaks while
testing for the presence of unit roots we applied the Lee-Strazicich
approach. For two euro based real exchange rate time series (in Hungary and
Turkey) the unit root hypothesis has been rejected. For the U.S. dollar based
real exchange rate time series in Poland, Romania and Turkey the presence of
unit root has been rejected. To assess the adjustment dynamics of those real
exchange rates that were detected to be stationary with two breaks, the
impulse response function is calculated and half-life is estimated. Our
overall conclusion is that the persistence of real exchange rate in Emerging
Europe is still substantially high. The lack of strong empirical support for
PPP suggests that careful policy actions are needed in this region to prevent
serious exchange rate misalignment.

Emerging economies have specificities which distance them compared to
advanced economies in practicing inflation targeting (IT) monetary regime.
One of the main differences in performing IT in advanced compared to
emerging economies is ?fear of floating? problem in emerging group. However,
on the road from exchange rate (ER) as a nominal anchor to IT, differences
between advanced and emerging economies concerning ?fear of floating? have
been more or less narrowed. In this paper we are concentrated to selected
aspects of ER pass-through to prices and output, as well as (in)direct
monetary policy reactions to ER shocks, trying to find out is significant
difference observable between advanced and emerging IT countries in
pre-crisis period and (post)crisis period. The comparison is made on the
basis of forecast error variance decompositions from estimated Vector
Autoregression (VAR) / Vector Error Correction (VEC) models. ?Fear of
floating? phenomenon should not be exclusively applied to emerging
economies, especially in the crisis period burdened with external shocks.
The role of ER in IT monetary framework is strengthened with higher internal
vulnerability to ER shocks, despite the level of economic development.
Advanced countries more use interest rate as an indirect way to withstand ER
shocks, while emerging economies more use direct way via foreign exchange
interventions to withstand the ER shocks.