CES VŠEM o aktuálních ekonomických problémech

only one regime (e.g. Estonia). 67 As there is no simple criterion
regarding the pegged and floating exchange rates, a simple rule
is applied – all pegged currencies are grouped together and the
same is done for all floating currencies ( pegged and
floating currencies). The classification of the latest
available exchange rate regimes for the NMS countries is in the
table in the Appendix. Our classification will necessarily bear
signs of some arbitrariness and both panels differ in size. 68 The
results for two sets of countries, based on the aforementioned
selection criterion, are shown in the tables nos. (12) and (13).
Table 12: Panel unit root tests – pegged exchange rates
no trend
trend
test t. statistics P-value t. statistics P-value
LLCa) Unadjusted -4.5763 -7.7632
Adjusted ( ) -2.3819 0.0086 -5.5397 0.0000
IPSa) -2.9937 0.0014 -5.4106 0.0000
M-Wa), b) Z -4.7989 0.0000 -4.4767 0.0000
M-Wa), d) Z -2.9126 0.0018 -5.3597 0.0000
CADFe) -2.968 -3.393
Z[-bar] -2.887 0.002 -2.713 0.003
Note: a) demeaned time series. b) robust option; c) DF, drift; Inverse normal
Z statistics reported, d) PP, drift; Inverse normal Z statistics reported,
e) truncated – approximation of extreme values of the distribution.
Source: own calculations.
There seems to be a clear division between countries with
pegged and floating currencies, which appears to point at exactly
the opposite implications. This may be due to the fact that
pegged currencies have been adjusted on a regular basis by
inflation differentials, so that PPP may have held and vice versa.
However, this division does not seem to be unique as the CADF
67 We use IMF data but classifications differ study from study. See e.g. an early
classification for five NMS countries in Frait al., 2006.
68
and
and therefore, we apply a different criterion
to distinguish between exchange rate regimes in the next section.
102