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Pregled bibliografske jedinice broj: 757789

Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate


Mance, Davor; Žiković, Saša; Mance, Diana
Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate // The South East European Journal of Economics and Business, 10 (2015), 1; 7-17 doi:10.1515/jeb-2015-0001 (međunarodna recenzija, članak, znanstveni)


Naslov
Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Rate
(Econometric Analysis of Croatia’s Proclaimed Foreign Exchange Ra te)

Autori
Mance, Davor ; Žiković, Saša ; Mance, Diana

Izvornik
The South East European Journal of Economics and Business (1840-118X) 10 (2015), 1; 7-17

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Central bank policies ; monetary transmission effects ; inflation targeting

Sažetak
The officially proclaimed foreign exchange policy of the Croatian National Bank (CNB) is a managed float with a discretionary right of intervention on the Croatian kuna/euro foreign exchange (FX) market in order to maintain price stability. This paper examines the validity of three monetary policy hypotheses: the stability of the nominal exchange rate, the stability of exchange rate changes, and the exchange rate to inflation pass- through effect. The CNB claims a direct FX to inflation rate pass-through channel for which we find no evidence, but we find a strong link between FX rate changes and changes in M4, as well as between M4 changes and inflation. Changes in foreign investment Granger cause changes in monetary aggregates that further Granger cause inflation. Changes in FX rate Granger cause a reaction in M4 that indirectly Granger causes a further rise in inflation. Vector Autoregression Impulse Response Functions of changes in FX rate, M1, M4, and CPI confirm the Granger causalities in the established order.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija



POVEZANOST RADA


Projekt / tema
13.02.1.3.11

Ustanove
Medicinski fakultet, Rijeka,
Ekonomski fakultet, Rijeka

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Emerging Sources Citation Index (ESCI)
  • Scopus
  • EconLit


Uključenost u ostale bibliografske baze podataka:


  • EconLit
  • Web of Science Core Collection - Emerging Sources Citation Index (ESCI)
  • EBSCO - Business Source
  • EBSCO - Central & Eastern European Academic Source
  • ECONIS
  • Elsevier - SCOPUS
  • International Abstracts in Operations Research
  • ProQuest - International Bibliography of the Social Sciences (IBSS)
  • Research Papers in Economics (RePEc)


Citati