Empiryczne modele kursów walutowych: ocena trafności prognoz

• Autorzy: Piotr Wdowiński

Warianty tytułu

Empirical Exchange Rate Models: an Assessment of Forecasting Accuracy

• Języki publikacji: PL

Abstrakty

W prezentowanym tekście podjęliśmy tematykę modelowania kursów walutowych. Część teoretyczna artykułu została poświęcona teorii parytetu siły nabywczej PPP oraz modelowi monetarnemu wraz z przeglądem literatury, wskazującym na genezę modelowania nominalnych i realnych kursów walutowych. W części empirycznej dokonaliśmy oszacowania kwartalnych modeli kursów walutowych PLN/USD i PLN/EUR w okresie 1990-2002. Badaniem objęliśmy teorię parytetu PPP dla dwóch indeksów cen, tj. indeksu cen towarów i usług konsumpcyjnych (CPI) oraz indeksu cen produkcji sprzedanej przemysłu (PPI), oraz modelu monetarnego z uwzględnieniem stóp procentowych. Dokonaliśmy ponadto oceny jakości prognoz generowanych przez obie klasy modeli w oparciu o ideę łączenia prognoz według podejścia Faira-Shillera (1990). Na podstawie przeprowadzonego badania można wnioskować, ze w analizowanym okresie nie udało się potwierdzić związków teoretycznych pomiędzy kursem "lutowym a zmiennymi o charakterze fundamentalnym w kontekście wartości ocen parametrów. Modele monetarne okazały się lepsze od modeli parytetu siły nabywczej z prognostycznego punktu widzenia.(abstrakt oryginalny)

EN

In the paper we estimate exchange rate models. The theoretical part of the paper includes the purchasing power parity theory (PPP) and monetary model. We also propose an extended review of literature on modeling nominal and real exchange rates. In the empirical part we estimate quarterly exchange rate models of PLN/USD and PLN/EUR during 1990-2002. We have assessed the PPP model for consumer price (CPI) and producer price (PPI) indices along with the monetary model including interest rates. We have also assessed a predictive power of models within a framework of Fair and Shiller (1990) based on combined forecasts. The research has shown that we cannot confirm theoretical relations between exchange rates and fundamentals in terms of estimated parameters' size. The monetary models have been found to be superior to PPP models in terms of their forecasting accuracy.(original abstract)

Słowa kluczowe

PL

Kurs walutowy; Parytet siły nabywczej; Teorie monetarne; Prognozowanie kursów walut; Przegląd literatury

EN

Exchange rates; Purchasing power parity; Monetary theories; Exchange rates forecasting; Literature review

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2005
• Tom: 193 Wybrane zagadnienia ilościowych analiz ekonomiczno-finansowych
• Strony: 109--142

Twórcy

autor

Piotr Wdowiński

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