Modelowanie i prognozowanie kursu walutowego złoty/euro

• Autorzy: Piotr Wdowiński

Warianty tytułu

Modelling and Forecasting Zloty/Euro Exchange Rate

• Języki publikacji: PL

Abstrakty

Przedstawiono empiryczną weryfikację modelu monetarnego kursu złoty/euro dla danych kwartalnych w okresie 1995-2006. Kurs ten stanowi jedną z najważniejszych zmiennych makroekonomicznych. Do estymacji modelu zastosowano metodę kointegracji Johansena. Przeprowadzono analizę błędów prognoz ex post i zaproponowano prognozy łączne.

EN

In this paper we presented an empirical analysis of monetary model of zloty/euro exchange rate based on quarterly data during 1995-2006. The models were estimated with the Johansen co-integration methodology. We calculated forecasts, assessed their accuracy and proposed combined predictors. We concluded that the monetary model may serve as an accurate forecasting tool if the homogeneity assumption of money supply effects on exchange rate is relaxed. The combined forecasts with optimal weighting schemes of individual forecasts are superior to the latter. The quality of weighted average combined forecasts is higher that those of simple average. (original abstract)

Słowa kluczowe

PL

Kurs walutowy; Monetaryzm; Modelowanie ekonometryczne

EN

Exchange rates; Monetarist; Econometric modeling

• Czasopismo: Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego
• Rocznik: 2007
• Numer: nr 5
• Strony: 183--212

Twórcy

autor

Piotr Wdowiński

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