Random walk theory and exchange rate dynamics in transition economies

Unemployment and Real Exchange Rate Dynamics in Latin American Economies

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Is the dollar/ECU exchange rate a random walk?

Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the sample autocorrelations of the series of first differences of the logarithm of the monthly exchange r...

Transitional Dynamics in Transition Economies

Comparison between response dynamics in transition economies and developed economies.

In developed economies, the sign of the price increment influences the volatility in an asymmetric fashion--negative increments tend to result in larger volatility (increments with larger magnitudes), while positive increments result in smaller volatility. We explore whether this asymmetry extends from developed economies to European transition economies and, if so, how such asymmetry changes o...

Exchange Rate Regimes in Central and Eastern European Transition Economies, with Lessons for Ukraine

This paper begins by reviewing the debate about exchange rate regimes in the transition countries of Eastern and Central Europe (CEECs), and suggests that prototypically such countries move through three stages: from fixed rates to flexible rates or, typically, managed floats, and then back to fixed rates again in preparation for adopting the euro. The paper then analyzes dilemmas associated wi...