Application of Panel Data Models to Exchange Rates' Modeling for Scandinavian and Central and Eastern European Countries

• Autorzy: Dorota Górecka , Dominik Śliwicki

Warianty tytułu

Zastosowanie modeli panelowych do modelowania kursów walutowych dla krajów skandynawskich i Europy Środkowo-Wschodniej

• Języki publikacji: EN

Abstrakty

EN

In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate from the long-term equilibrium rate and the PPP theory is at variance with the data, two panel models were estimated to identify factors that influence exchange rates of Scandinavian and CEFTA countries. (original abstract)

W artykule podjęto próbę empirycznej weryfikacji teorii parytetu siły nabywczej w odniesieniu do sześciu krajów członkowskich OECD: Danii, Norwegii i Szwecji oraz Czech, Polski i Węgier. W związku z tym, że uzyskane wyniki nie potwierdziły prawdziwości weryfikowanej teorii, celem pracy stało się zidentyfikowanie czynników wpływających na poziom kursów walutowych państw skandynawskich oraz państw Europy Środkowo-Wschodniej w latach 1999-2008 oraz wskazanie różnic między nimi. (abstrakt oryginalny)

Słowa kluczowe

EN

Purchasing power parity; Exchange rates; Exchange rates forecasting

PL

Parytet siły nabywczej; Kurs walutowy; Prognozowanie kursów walut

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2009
• Tom: 9
• Strony: 51--60

Twórcy

autor

Dorota Górecka

• Nicolaus Copernicus University in Toruń, Poland

autor

Dominik Śliwicki

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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Identyfikatory

DOI

10.12775/DEM.2009.005