Fractional Integration Parameters Estimation for the PLN and for the Irish Pound Exchange Rates

• Autorzy: Ewa Marta Syczewska
• Języki publikacji: EN

Abstrakty

EN

The results presented here are a continuation of the research on exchange rate modeling, in particular - comparisons of behavior of several currencies, published in the papers of Syczewska (2002a-d). Earlier we compared nominal exchange rate behavior, in particular checking whether permanent changes of USD/PLN fluctuations, detected by Załuska-Kotur, Krukowski and Orłowski (2002), took place also for other exchange rates. Among the methods applied we used non-stationarity (unit-root) tests and also a fractional integration parameter estimation method. The fractional integration was treated as an indicator of long-memory in the series. We noticed a marked change of the fluctuations pattern in 1997. This is due to the increased exchange rate volatility - as E. Pietrzak (2000) noted, since the beginning of 1997 the Polish zloty attained a degree of convertibility higher than one required by the IMF.(fragment of text)

Słowa kluczowe

EN

Estimation; Exchange rates; Time-series

PL

Estymacja; Kurs walutowy; Szeregi czasowe

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 159--172

Twórcy

autor

Ewa Marta Syczewska

• Warsaw School of Economics, Poland

Bibliografia

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