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2009 | 1 | nr 1 | 35--55
Tytuł artykułu

Behavioral and Permanent Zloty/Euro Equilibrium Rate

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Poland is expected to enter the Exchange Rate Mechanism II (ERM II). The European Central Bank recommends that the ERM II central rate should reflect the best possible assessment of the equilibrium exchange rate. Since the equilibrium rate is changing in time, it is important to identify the pushing and pulling forces of the exchange rate. This knowledge will let the authorities to defend only the exchange rate that is in equilibrium and to assess outcomes of their actions. We use the VEC approach of Johansen to estimate the behavioral equilibrium exchange rate and to identify the pushing forces of the Polish zloty/euro rate. We apply the Gonzalo-Granger decomposition to calculate the permanent equilibrium exchange rate and to identify the pulling forces of the zloty exchange rate. We demonstrate that this approach may be useful for Polish authorities while entering the ERM II as well as within that mechanism. (original abstract)
Rocznik
Tom
1
Numer
Strony
35--55
Opis fizyczny
Twórcy
  • National Bank of Poland
Bibliografia
  • [1] Bęza-Bojanowska J., (2008), Behavioral Zloty/Euro Equilibrium Exchange Rate, [in:] Metody ilosciowe w naukach ekonomicznych, 8 Warsztaty Doktorskie z Zakresu Ekonometrii i Statystyki, [ed:] Welfe A., Szkoła Główna Handlowa, Warszawa
  • [2] Bęza-Bojanowska J., Błazej M., Janecki J., Kolski P., Szeląg K., Wójcik C., (2005), Integracja Polski ze strefa euro: uwarunkowania członkostwa i strategia zarządzania procesem, Ministry of Finance, available at: http://www.mf.gov.pl/_files_/aktualnosci/2005/sierpien/integracja_polski_ ze_strefa_euro1.pdf.
  • [3] Beza-Bojanowska J., MacDonald R., (2009), The Behavioural Zloty/Euro Equilibrium Exchange Rate, National Bank of Poland Working Paper, No. 55, forthcoming
  • [4] Clark P., MacDonald R., (1998), Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs, International Monetary Fund Working Paper, No. 67
  • [5] Clark P., MacDonald R., (2004), Filtering the BEER: A Permanent and Transitory Decomposition, Global Finance Journal 15, 29-56
  • [6] Doornik J.A., Hansen H., (1994), A Practical Test for Univariate and Multivariate Normality, Nuffíeld College Discussion Paper
  • [7] Egert B., Lommatzsch K., (2004), Equilibrium Exchange Rates in the Transition: The Tradable Price-Based Real Appreciation and Estimation Uncertainty, Bank of Finland, Institute for Economies in Transition Discussion Papers, No. 9
  • [8] European Central Bank, (2003), Policy Position of the Governing Council of the European Central Bank on Exchange Rate. Issues Relating to the Acceding Countries.
  • [9] European Union, (2002), Consolidated Versions of the Treaty on European Union and of the Treaty Establishing the European Community, Official Journal of the European Communities, C 325.
  • [10] Gonzalo J., Granger C., (1995), Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business and Economic Statistics 13, 27-35
  • [11] Greenslade J.V., Hall S.G., Henry S.G.B., (2002), On the Identification of Cointegrated Systems in Small Samples: a Modelling Strategy with an Application to UKWages and Prices, Journal of Economic Dynamics and Control 26, 1517-1537
  • [12] Hansen H., Johansen S., (1999), Some Tests for Parameters Constancy in the Cointegrated VAR, Econometric Journal 2, 306-333
  • [13] Johansen S., (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford
  • [14] Johansen S., (2002), A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model, Econometrica 70, 1929-1961
  • [15] Juselius K., (2006), The Cointegrated VAR Model: Methodology and Applications, Oxford University Press
  • [16] Kelm R., Beza-Bojanowska J., (2005), Polityka monetarna i fiskalna a odchylenia realnego kursu złoty/euro od kursu równowagi w okresie styczen 1995 r. - czerwiec 2004 r., Bank i Kredyt 10
  • [17] Lane P., Milesi-Ferretti G., (2004), The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates, The Review of Economics and Statistics 86, 841-857.
  • [18] MacDonald R., (2000), Concepts to Calculate Equilibrium Exchange Rates: An Overview, Economic Research Group of the Deutsche Bundesbank Discussion Paper, No. 3.
  • [19] MacDonald R., Nagayasu J., (2000), The Long Run Relationship Between Real Exchange Rate and Real Interest Differential: A Panel Study, International Monetary Fund Staff Paper 47, 116-128.
  • [20] Maeso-Fernandez F., Osbat C., Schnatz B., (2001), Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach, European Central Bank Working Paper, No. 85.
  • [21] National Bank of Poland, (2007), Miedzynarodowa pozycja Polski w 2006 roku.
  • [22] Rahbek A., Hansen H. C., Dennis J. G., (2002), ARCH Innovations and Their Impact on Cointegration Rank Testing, Department of Theoretical Statistics, University of Copenhagen Working Paper, No. 22.
  • [23] Rogoff K., (1996), The Purchasing Power Parity Puzzle, Journal of Economic Literature 34, 647-668.
  • [24] Williamson J., (1994), Estimating Equilibrium Exchange Rates, Institute for International Economics, Washington DC.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000169316546

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