Modeling and Forecasting Exchange Rates: A Monetary Approach

• Autorzy: Piotr Wdowiński , Aneta Zglińska-Pietrzak
• Języki publikacji: EN

Abstrakty

EN

Chapter 11 examines a flexible price monetary model of the PLN/EUR zloty exchange rate within a cointegration and error correction framework. It has been found that the exchange rate cointegrates with macroeconomic fundamentals and that the error correction model is superior to the simple short-run dynamic model in forecasting exercises. As a general rule, the structural approach can hardly outperform a simple autoregression model of exchange rate. (fragment of text)

Słowa kluczowe

EN

Polish Zloty; Exchange rates; Exchange rate theory; United States dollar (USD)

PL

Złoty polski; Kurs walutowy; Teoria kursu walutowego; Dolar amerykański (USD)

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 1 Financial markets : principles of modeling forecasting and decision-making
• Strony: 155--172

Twórcy

autor

Piotr Wdowiński

• University of Lodz, Poland

autor

Aneta Zglińska-Pietrzak

• University of Lodz, Poland

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