PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2018 | nr 509 Problemy ekonomii, polityki ekonomicznej i finansów publicznych | 509--520
Tytuł artykułu

Commodity Price Volatility, Output Growth and Exchange Rate Dynamics in The Central and Eastern European Countries

Treść / Zawartość
Warianty tytułu
Niestabilność cen surowców, wzrost gospodarczy oraz kurs walutowy w gospodarkach Europy Środkowej i Wschodniej
Języki publikacji
EN
Abstrakty
EN
This paper investigates the commodity price effects upon GDP growth and nominal effective exchange rate (NEER) dynamics in several Central and Eastern European (CEE) countries (the Czech Republic, Hungary, Poland and Romania). Our main finding is that an increase in the world commodity price index is a factor behind a uniform exchange rate appreciation across all countries, with an acceleration in output growth in the Czech Republic and Hungary. Except for the Czech Republic, higher commodity price volatility is associated with exchange rate depreciation, while being neutral with respect to output growth. Among some other results, exchange rate dynamics seems to be independent of output growth in three out of four countries, while the effects of a foreign demand shock as proxied by Germany's industrial production are quite homogeneous across nations(original abstract)
W opracowaniu poddano analizie oddziaływanie światowych cen surowców na wzrost gospodarczy oraz nominalny efektywny kurs walutowy (NEER) dla wybranych krajów Europy Środkowej i Wschodniej (Czech, Węgier, Polski i Rumunii). Ustalono, że wzrost cen surowców powoduje aprecjację kursu walutowego we wszystkich analizowanych krajach, przy czym przyspieszenie tempa wzrostu gospodarczego występuje tylko w Czechach i na Węgrzech. Z wyłączeniem Czech, większa niestabilność cen surowców kojarzy się z deprecjacją kursu walutowego, niewpływającą na wzrost gospodarczy. Spośród innych wyników na uwagę zasługuje to, że zmiany kursu walutowego są niezależne od dynamiki wzrostu gospodarczego w większości krajów (oprócz Czech). Jednocześnie skutki zewnętrznego wstrząsu popytowego (w postaci zmian produkcji przemysłowej w Niemczech) w badanych gospodarkach są bardzo podobne(abstrakt oryginalny)
Twórcy
  • Cracow University of Technology
  • Lviv Trade and Economics University
Bibliografia
  • Adler G., Magud N., Werner A., 2018, Terms-of-trade cycles and external adjustment, International Review of Economics and Finance, vol. 54, no. 1, pp. 103-122.
  • Aghion P., Bacchetta P., Rancie R., Rogoff K., 2009, Exchange rate volatility and productivity growth: The role of financial development, Journal of Monetary Economics, vol. 56, pp. 494-513.
  • Arezki R., Gylfason T., 2011, Commodity price volatility, democracy and economic growth, CESifo Working Paper Series, no. 3619, CESifo Group, Munich.
  • Berg A., Papageorgiou C., Pattillo C., Schindler M., Spatafora N., Weisfeld H., 2011, Global shocks and their impact on low-income countries: Lessons from the global financial crisis, DIIS Working Paper 2011:07, Danish Institute for International Studies, Copenhagen.
  • Blattman C., Hwang J., Williamson J.G., 2003, The terms of trade and economic growth in the periphery 1870-1983, NBER Working Paper, no. 9940, National Bureau Economic Research, Washington, DC.
  • Bleaney M., Greenaway D., 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.
  • Bodart V., Candelon B., Carpantier J.-F., 2012, Real exchanges rates in commodity producing countries: A reappraisal, Journal of International Money and Finance, vol. 31, pp. 1482-1502.
  • Bouakez H., Kano T., 2008, Terms of trade and current account fluctuations: The Harberger-Laursen-Metzler effect revisited, Journal of Macroeconomics, vol. 30, pp. 260-281.
  • Broda C., 2004, Terms of trade and exchange rate regimes in developing countries, Journal of International Economy, vol. 63, no. 1, pp. 31-58.
  • Calderón C., Kubota M., 2009, Does higher openness cause more real exchange rate volatility?, Policy Research Working Paper, no. 4896, World Bank, Washington, DC.
  • Cashin P., McDermott J., Soon A., 1999, Booms and slumps in world commodity prices, IMF Working Paper, no. WP/99/155, International Monetary Fund, Washington, DC.
  • Devereux M., 2004, Monetary policy rules and exchange rate flexibility in a simple dynamic general equilibrium model, Journal of Macroeconomics, vol. 26, no. 2, pp. 287-308.
  • Diewert W.E., Morrison C.J., 1986, Adjusting output and productivity indexes for changes in the terms of trade, Economic Journal, vol. 96, pp. 659-679.
  • Edwards S., Yeyati L., 2005, Flexible exchange rates as shock absorbers, European Economic Review, vol. 49, no. 8, pp. 2079-2105.
  • Ekholm K., Södersten B., 2002, Growth and trade vs. trade and growth, Small Business Economics, vol. 19, no. 2, pp. 147-162.
  • Fernández A., Schmitt-Grohé S., Uribe M., 2017, World shocks, world prices, and business cycles: An empirical investigation, Journal of International Economics, vol. 108, pp. S2-S14.
  • Gelos G., Ustyugova Y., 2017, Inflation responses to commodity price shocks - How and why do countries differ?, Journal of International Money and Finance, vol. 72, no. 1, pp. 28-47.
  • Grossmann A., Love I., Orlov A., 2014, The dynamics of exchange rate volatility: A panel VAR approach, Journal of International Financial Markets, Institutions & Money, vol. 33, no. 1, pp. 1-27.
  • Gubler M., Hertweck M., 2013, Commodity price shocks and the business cycle: Structural evidence for the U.S., Journal of International Money and Finance, vol. 37, pp. 324-352.
  • Hoffmann M., 2007, Fixed versus flexible exchange rates: Evidence from developing countries, Economica, vol.74, no. 295, pp. 425-449.
  • Jawaid S.T., Waheed A., 2011, Effects of terms of trade andits volatility on economic growth: A cross country empirical investigation, Transition Studies Review, vol. 18, no. 2, pp. 217-229.
  • Kang W., Ratti R., Vespignani J., 2017, Global commodity prices and global stock volatility shocks: Effects across countries, FRB of Dallas Working Paper, no. 311, Federal Reserve Bank of Dallas, Dallas.
  • Kehoe T.J., Ruhl K.J., 2005, Is Switzerland in a great depression?, Review of Economic Dynamics, vol. 8, no. 3, pp. 759-775.
  • Kehoe T.J., Ruhl K.J., 2008, Are shocks to the terms of trade shocks to productivity?, Review of Economic Dynamics, vol. 11, pp. 804-819.
  • Makin A.J., 2013, Commodity prices and the macroeconomy: An extended dependent economy approach, Journal of Asian Economics, vol. 24, pp. 80-88.
  • McGregor T., 2017, Commodity price shocks, growth and structural transformation in low-income countries, The Quarterly Review of Economics and Finance, vol. 65, pp. 285-303.
  • Mendoza E., 1997, Terms-of-trade uncertainty and economic growth, Journal of Development Economics, vol. 54, no. 2, pp. 323-335.
  • Muhanji M., Ojah K., 2011, External shocks and persistence of external debt in open vulnerable economies: The case of Africa, Economic Modelling, vol. 28, pp. 1615-1628.
  • Otto G., 2003, Terms of trade shocks and the balance of trade: There is a Harberger-Laursen-Metzler effect, Journal of International Money and Finance, vol. 22, pp. 155-184.
  • Sekine A., Tsuruga T., 2016, Effects of commodity price shocks on inflation: A cross-country analysis, ESRI Discussion Paper Series, no. 331, Economic and Social Research Institute, Tokyo.
  • Spatafora N., Tytell I., 2009, Commodity terms of trade: The history of booms and busts, IMF Working Paper, no. WP/09/205, International Monetary Fund, Washington, DC.
  • Tornell A., Velasco A., 2000, Fixed versus flexible exchange rates: Which provides more fiscal discipline?, Journal of Monetary Economics, vol. 45, no. 2, pp. 399-436.www.imf.org/external.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171531946

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.