Is There an Asymmetric Effect Between the Exchange Rate and the Gross Domestic Product of Southeastern European Countries?

The main goal of this paper is to examine if there is an asymmetric effect of the exchange rate (ER) on the GDP of the five SEE countries. A nonlinear autoregressive distributed lag (NARDL) model was used, as well as quarterly data from the period 2000Q1 to 2020Q4 across a sample of the five SEE countries (Bulgaria, Croatia, Romania, Serbia and Slovenia). In the long and short run, this study found an asymmetric effect of ER on the GDP of Croatia, Romania and Serbia. In the long run, it was found that appreciation and depreciation have expansionary effect on the GDP of Croatia and Romania. For Croatia, it was found that expansionary appreciation has stronger effect on the GDP, relative to expansionary depreciations, while for Romania expansionary depreciation has stronger effect on the GDP, relative to expansionary appreciation. In the end, for Serbia, it was found that appreciation has an expansionary effect on the GDP, while the depreciation effect is neutral.