Rynkowe prognozy stóp inflacji i dewaluacji

• Autorzy: Joanna Utkin

Warianty tytułu

Market Prognoses of Inflation and Devaluation Rates

• Języki publikacji: PL

Abstrakty

EN

The Polish financial market gives prices of four issues of the one year price-increase-linked bond, of treasury bills as well as of the forward exchange rates of USD and DM up to six month. Market expectations of the inflation rates and of the devaluation rates are obtained on the basis of alternative investments. The application of the interest rates parity enables us to enlarge market expectations of the devaluation rates for nine and twelve month periods. By formal assumption that both real interest rates are equal and constant, the relation of the obtained market predictors of the inflation and devaluation rates gets purchasing power parity, although such an assumption is not really justified. (original abstract)

Słowa kluczowe

PL

Jednolity rynek finansowy; Rynek obligacji; Stopa inflacji

EN

Single financial market; Bond market; Inflation rates

• Czasopismo: Przegląd Statystyczny
• Rocznik: 1996
• Tom: 43
• Numer: z. 3-4
• Strony: 215--221

Twórcy

autor

Joanna Utkin

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• [1] Ben Shahar, Cukiermam , The Term Structure of Interest Rates and Expectations of Price Increase and Devaluation. Journal of Finance, June 1973, s. 567-575.
• [2] Bijak W., Podgórska ?., Utkin J., Matematyka finansowa. Bizant, Warszawa 1994.
• [3] Blake D., Financial Market Analysis. Mc Graw-Hill, London 1990.
• [4] Fama E., Forward Rates as Predictors of Future Spot Rates. Journal of Financial Economics 3/1976, s. 361-377.
• [5] Hansen L., Hodrick R., Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy, October 1980, s. 829-853.
• [6] Solnik B., International Investments, Addison - Wesley, New York 1988.
• [7] Utkin J., Ryzyko stopy i ryzyko inflacji obligacji jednorocznej o oprocentowaniu zmiennym. Przegląd Statystyczny, 3-4, 1995.