Asymetria w zwrotach kursów wymiany złotego

• Autorzy: Ryszard Doman

Warianty tytułu

Asymetry in Returns of the Polish Exchange Rates

• Języki publikacji: PL

Abstrakty

Celem artykułu jest analiza dynamiki zwrotów (stóp zmian) kursów wymiany walut, w aspekcie asymetrycznych zachowań tej dynamiki. (fragment tekstu)

EN

The aim of this paper is to analyze the dynamics of returns of exchange rates of the Polish zloty against selected foreign currencies, focusing on asymmetric behaviors. The presented results deal with two aspects of asymmetry in the return series. The first one concerns asymmetry in unconditional and conditional distributions of the returns and the second is connected with nonlinear GARCH models that can capture asymmetric effects of positive and negative shocks on volatility. The impact on the investigated asymmetric behaviors of allowing the Polish currency to fully float is also evaluated. (original abstract)

Słowa kluczowe

PL

Model GARCH; Kurs złotego; Rynki finansowe; Rynek walutowy

EN

GARCH model; Polish Zloty exchange rate; Financial markets; Foreign Exchange (FX)

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2005
• Numer: nr 55
• Strony: 66--84

Twórcy

autor

Ryszard Doman

• Uniwersytet im. Adama Mickiewicza w Poznaniu

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