Analysis of the Effects of Exchange Rate Volatility on the Romanian Exports to the Euro Area

XIth Annual International Conference, Risk in Contemporary Economy, November 26-27, 2010, Galati, Romania

10 Pages Posted: 13 Feb 2012

See all articles by Ramona Dumitriu

Ramona Dumitriu

University Dunarea De Jos Galati

Razvan Stefanescu

University Dunarea De Jos Galati

Date Written: October 16, 2010

Abstract

In this paper we approach the impact of the exchange-rate volatility on the Romanian exports to the Euro Area. We employ a Vector Autoregressive model and Granger Causality tests to identify the interactions between the two variables. We connect the fact that main Romanian exporters are branches of the multinational companies with the weak influence of the exchange rate volatility on the exports.

Keywords: Exchange Rate Volatility, Romanian Exports, Cointegration, Vector Autoregressive, Granger Causality

JEL Classification: F31, F10

Suggested Citation

Dumitriu, Ramona and Stefanescu, Razvan, Analysis of the Effects of Exchange Rate Volatility on the Romanian Exports to the Euro Area (October 16, 2010). XIth Annual International Conference, Risk in Contemporary Economy, November 26-27, 2010, Galati, Romania. Available at SSRN: https://ssrn.com/abstract=2002400 or http://dx.doi.org/10.2139/ssrn.2002400

Ramona Dumitriu (Contact Author)

University Dunarea De Jos Galati ( email )

Romania

Razvan Stefanescu

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

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