Modele wczesnego ostrzegania przed kryzysami walutowymi - zastosowania dla Polski

• Autorzy: Dobromił Serwa

Warianty tytułu

Models of early warning against currency crises - applications for Poland

• Języki publikacji: PL

Abstrakty

W pracy opisano spoób wykorzystania analizy sygnałowej oraz modeli logitowych do prognozowania kryzysów walutowych. Jako przykład przedstawiono wyniki prognoz kryzysu walutowego dla Polski oraz omówiono ograniczenia wykorzystanych modeli. Przybliżono możliwość wykorzystania przez władze monetarne wyników otrzymanych przy użyciu modeli ekonometrycznych.

EN

This work presents two methods of forecasting currency crises: the signal approach and the logit models. The article focuses on econometric logit models and presents the results of a crisis forecast simulation for Poland. The work discusses the definition of a currency crisis. Adequate calculations show that macroeconomic variables behave differently before the crises than in the periods immediately following them. Therefore the work suggests two methods taking account of this phenomenon and discusses examples of the application of the obtained forecasts to the process of decision taking by monetary authorities in order to prevent a possible currency crisis. (original abstract)

Słowa kluczowe

PL

Kryzys walutowy; Prognozowanie ostrzegawcze; Modele ekonometryczne

EN

Currency crisis; Warning forecasting; Econometric models

• Czasopismo: Bank i Kredyt
• Rocznik: 2005
• Numer: nr 9
• Strony: 4--17

Twórcy

autor

Dobromił Serwa

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