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Impact of global crisis on REER fluctuations - pre-inflation-pandemic assessment

Mierzejewski Mateusz, Prażmowski Mikołaj

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

2024

z. 198

309--326

Purpose: This paper examines the impact of global crises, including the Global Financial Crisis (GFC), the COVID-19 pandemic, and the subsequent inflation crisis, on the fluctuations of the Real Effective Exchange Rate (REER). The cyclicality of REER has been examined as influenced by economic shocks, highlighting how pandemic-induced economic disruptions have reshaped REER dynamics differently from the more financially triggered fluctuations of the Global Financial Crisis. Design/methodology/approach: The methodology employs a comparative spectral analysis approach, utilizing time-series data to track REER movements across various countries. Findings: The findings indicate that the GFC and the COVID-19 pandemic led to shortening periods of cyclicality. Moreover, there has been a noticeable improvement in the synchronization of REER movements post-GFC, suggesting that economies may converge in their responses to global economic shocks. This convergence implies a potential stabilization of exchange rate movements in the face of future crises, underlining the importance of coordinated monetary policies. Research limitations/implications: To model the REER index, one can use also classical analytical methods such as VAR models, where macroeconomic factors can serve as variables. In spectral analysis itself, other filters like the Hodrick-Prescott filter or applying a spectral window can be used. Practical implications: The conducted study implies an improvement in synchronization among financial systems, with this knowledge, more appropriate and rational monetary decisions can be made, and private entities can better employ hedging strategies against currency exchange rate fluctuations. The study also aids in identifying inflationary pressures and the impact of the global financial system on the inflation index in individual countries. Originality/value: The methods used in the article represent an innovative approach to modeling the REER index, providing new insights into the cyclicality of the index and the shortening periods of its occurrence. The article is addressed both to researchers in this field and to individuals involved with the monetary system and those working in the financial industry.