2009 | Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007 | 137--146
Fundamental Analysis of Exchange Rates : Some Empirical Evidence for Poland
In the paper single equation cointegration techniques are applied in testing for the long-rung exchange rate models of zloty-euro, zloty-dollar and zloty-eurodollar under structural breaks. We detect relatively quite large set of fundamental variables which influence zloty-euro, zloty-dollar and zloty-eurodollar exchange rates. We find that dynamic models are fit better to reality then ststic models. Consequently, we expect that they should be more precise and thus more useful in prediction process. They also lead us to the long-run solution for zloty-euro, zloty-dollar and zloty-eurodollar exchange rates. In the next study, it would be interesting to develop not only Engle-Granger  approach (assuming one cointegrating vector), but also Johansen  technique (allowing for many cointegrating vectors) to case of various types of structural breaks and apply this approach in fundamental analysis. At last, forecasting exercises are much desired. (fragment of text)
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