PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2011 | nr 3 | 67--86
Tytuł artykułu

Model monetarny kursu równowagi złoty/euro : analiza kointegracyjna

Treść / Zawartość
Warianty tytułu
The Monetary Model of the Zloty-Euro Equilibrium Exchange Rate : Cointegration Analysis
Języki publikacji
PL
Abstrakty
EN
The author carries out a cointegration analysis for the nominal exchange rate of the zloty against the euro according to a monetary theory developed by U.S. economist Jeffrey A. Frankel (1979). Wdowiński estimates a cointegration vector for the period 1999M7-2008M9. Long-term estimates show that the euro exchange rate depends on changes in industrial production and on short- and long-term interest rates, the author says. The influence of M1 money supply proves to be statistically insignificant. The departure of the euro rate from a state of monetary equilibrium was corrected slowly, the author says, because the half-life of the divergence was almost two years. The solution of the model showed that the euro exchange rate diverged significantly from a state of equilibrium determined by fundamental factors in the 1999M7-2004M1 period, while showing smaller deviations in the 2004M2-2008M9 period. Overall, the author observed periods when the zloty was both overvalued and undervalued against the euro due to a long-term equilibrium rate. The deviations stabilized noticeably from May 2003. In the 2003M5-2006M3 period, the zloty was overvalued by 9.6% on average, while in the 2006M4-2008M9 period it was undervalued by 9.3%. In the short term, the zloty tended to appreciate as a result of increases in short-term interest rates. According to the author, fundamental economic factors in Poland and the euro area point to the existence of a trend whereby the zloty is gaining ground against the euro, while short-term changes in this rate may be significant due to a growing macroeconomic risk.
Czasopismo
Rocznik
Numer
Strony
67--86
Opis fizyczny
Twórcy
  • Uniwersytet Łódzki; Urząd Komisji Nadzoru Finansowego
Bibliografia
  • Bęza-Bojanowska J., [2009], Behavioral and Permanent Zloty/Euro Equilibrium Rate, Central "European Journal of Economic Modelling and Econometrics", 1, 35-55.
  • Bęza-Bojanowska J., MacDonald R., [2009], The Behavioural Zloty/Euro Equilibrium Exchange Rate, National Bank of Poland Working Paper 55.
  • Bilson J.F.O., [1978], The Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach, "American Economic Review", 68(2), 392-397.
  • Branson W.H., Halttunen H., Masson P., [1977], Exchange Rates in the Short Run: The Dollar-Deutschmark Rate, "European Economic Review", 10, 303-324.
  • Brzeszczyński J., Kelm R., [2002], Ekonometryczne modele rynków finansowych, WIG-Press, Warszawa.
  • Cheung Y.-W., Chinn M.D., Pascual A.G., [2005], Empirical exchange rate models of the nineties: Are any fit to survive?, "Journal of International Money and Finance" 24(7), 1150-1175.
  • Clarida R.H., Gali J., [1994], Sources of real exchange-rate fluctuations: How important are nominal shocks?, Carnegie-Rochester Conference Series on Public Policy 41(1), 1-56.
  • Clark P.B., MacDonald R., [1998], Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs, IMF Working Paper 98(67).
  • Crespo Cuaresma J., Hlouskova J., [2004], Forecasting exchange rates in transition economies: A comparison of multivariate time series models, Empirical Economics 29(4), 787-801.
  • Doornik J.A., [1995], Testing General Restrictions on the Cointegrating Space, manuscript.
  • Dornbusch R., [1976], Expectations and Exchange Rate Dynamics, "Journal of Political Economy" 84(6), 1161-1176.
  • Égert B., Lahrèche-Révil A., [2003], Estimating the Equilibrium Exchange Rate of the Central and Eastern European Acceding Countries: The Challenge of Euro Adoption, Review of World Economics 139(4), 683-708.
  • Eichenbaum M., Evans C.L., [1995], Some empirical evidence on the effects of shocks to monetary policy on exchange rates, "Quarterly Journal of Economics" 110(4), 975-1009.
  • Engle R.F., Granger C.W.J., [1987], Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55(2), 251-276.
  • Findley D.F., Hood C.C.H., [1999], X-12-ARIMA and Its Application to Some Italian Indicator Series, Seasonal Adjustment Procedures - Experiences and Perspectives, Istituto Nazionale di Statistica (ISTAT), Rome, 231-251.
  • Frankel J.A., [1979], On the Mark: Theory of Floating Exchange Rates Based on Real Interest Rate Differentials, "American Economic Review" 69(4), 610-622.
  • Frenkel J.A., [1976], A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence, Scandinavian Journal of Economics 78, 200-224.
  • Granger C.W.J., Newbold P., [1974], Spurious Regressions in Econometrics, "Journal of Econometrics" 2(2), 111-120.
  • Haldrup N., [1999], An Econometric Analysis of I(2) Variables, [w:] McAleer M., Oxley L. (eds.), Practical Issues in Cointegration Analysis, Blackwell, Oxford.
  • Haynes S.E., Stone J.A., [1981], On the mark: comment, "American Economic Review" 71(5), 1060-1067.
  • Husted S., MacDonald R., [1998], Monetary-based models of the exchange rate: a panel perspective, "Journal of International Financial Markets", Institutions and Money 8, 1-19.
  • Johansen S., [1988], Statistical Analysis of Cointegration Vectors, "Journal of Economic Dynamics and Control" 12, 231-254.
  • Johansen S., [1992], Determination of Cointegration Rank in the Presence of a Linear Trend, Oxford Bulletin of Economics and Statistics 54(3), 383-397.
  • Johansen S., [1995], Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.
  • Johansen S., [2002], A Small Sample Correction of the Test for Cointegrating Rank in the Vector Autoregressive Model, Econometrica 70, 1929-1961.
  • Johansen S., [2006], Statistical Analysis of Hypotheses on the Cointegrating Relations in the I(2) Model, Journal of Econometrics 132, 81-115.
  • Johansen S., Juselius K., [1990], Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics 52(2), 169-210.
  • Juselius K., [2006], The Cointegrated VAR Model: Methodology and Applications, Oxford University Press, Oxford.
  • Kelejian H.H., [1982], An Extension of a Standard Test for Heteroskedasticity to a Systems Framework, "Journal of Econometrics" 20, 325-333.
  • Kębłowski P., [2009], Małopróbkowe wnioskowanie o rzędzie kointegracji, rozprawa doktorska, Uniwersytet Łódzki, Łódź.
  • Kelm R., [2010], Model behawioralnego kursu równowagi złotego do euro w okresie styczeń 1996 - czerwiec 2009 r., Bank i Kredyt 41(2), 21-42.
  • Kelm R., Bęza-Bojanowska J., [2005], Polityka monetarna i fiskalna a odchylenia realnego kursu złoty/euro od kursu równowagi w okresie styczeń 1995 r. - czerwiec 2004 r., Bank i Kredyt 10, 4-19.
  • Ljung G., Box G.E.P., [1978], On a Measure of Lack of Fit in Time Series Models, Biometrika 66, 67-72.
  • Loría E., Sánchez A., Salgado U., [2010], New evidence on the monetary approach of exchange rate determination in Mexico 1994-2007: A cointegrated SVAR model, Journal of International Money and Finance 29(3), 540-554.
  • Lütkepohl H., [2005], New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin, Heidelberg.
  • MacDonald R., [2007], Exchange Rate Economics: Theories and Evidence, Routledge, New York.
  • MacDonald R., Taylor M.P., [1993], The monetary approach to the exchange rate: rational expectations, long-run equilibrium and forecasting, IMF Staff Papers 40(1), 89-107.
  • MacDonald R., Taylor M.P., [1994], The monetary model of the exchange rate. Long-run relationships, short-run dymanics and how to beat a random walk, Journal of International Money and Finance 13, 276-290.
  • MacKinnon J.G., Haug A.A., Michelis L., [1999], Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration, "Journal of Applied Econometrics" 14, 563-577.
  • Majsterek M., [2008], Wielowymiarowa analiza kointegracyjna w ekonomii, Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
  • Mark N.C., [1995], Exchange rates and fundamentals: Evidence on long-horizon predictability, "American Economic Review" 85, 201-218.
  • Mark N.C., Choi D.-Y., [1997], Real exchange-rate prediction over long horizons, "Journal of International Economics" 43, 29-60.
  • Osterwald-Lenum M., [1992], A Note With Fractiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases, Oxford Bulletin of Economics and Statistics 54, 461-472.
  • Reimers H.-E., [1992], Comparison of Tests for Multivariate Cointegration, Statistical Papers 33, 335-359.
  • Reinsel G.C., Ahn S.K., [1992], Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting, Journal of Time Series Analysis 13, 353-375.
  • Rogers J.H., [1995], Real shocks and real exchange rates in really long-term data, International Finance Discussion Papers 493, Board of Governors of the Federal Reserve System.
  • Rubaszek M., [2004], Modelowanie optymalnego poziomu realnego efektywnego kursu złotego: zastosowanie koncepcji fundamentalnego kursu równowagi, Materiały i Studia 175, NBP.
  • Rubaszek M., [2009], Economic Convergence and the Fundamental Equilibrium Exchange Rate in Poland, Bank i Kredyt 40(1), 7-22.
  • Rubaszek M., Serwa D., Marcinkowska-Lewandowska W., [2009], Analiza kursu walutowego, C.H. Beck, Warszawa.
  • Syczewska E.M., [2007], Ekonometryczne modele kursów walutowych, Monografie i Opracowania, Szkoła Główna Handlowa, Warszawa.
  • Wdowiński P., [2007], Modelowanie i prognozowanie kursu walutowego złoty/euro, [w:] Miłobędzki P., Szreder M. (red.), Modelowanie i prognozowanie gospodarki narodowej, Prace i Materiały 5.
  • Wdowiński P., [2010], Modele kursów walutowych, Wydawnictwo Uniwersytetu Łódzkiego, Łódź.
  • Wdowiński P., Zglińska-Pietrzak A., [2006], Modeling and Forecasting Exchange Rates: A Monetary Approach, [w:] Milo W., Wdowiński P. (eds.), Financial Markets: Principles of Modeling, Forecasting and Decision-Making, FindEcon Monograph Series: Advances in Financial Market Analysis, No. 1, Wydawnictwo Uniwersytetu Łódzkiego, Łódź, 155-172.
  • Welfe A., [1995], Ekonometria, Wyd. 1, PWE, Warszawa.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171206659

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.