BEER tastes better in a panel of neighbours. On equilibrium exchange rates in CEE countries

• Autorzy: Piotr Roszkowski , Kamila Sławińska , Andrzej Torój
• Języki publikacji: EN

Abstrakty

EN

We follow the behavioural equilibrium exchange rate (BEER) approach to estimate the misalignments of real exchange rates in selected Central European countries, including Poland, in a sample that covers both pre- and post-crisis period. We add to the existing literature by applying a panel approach with FM-OLS estimator of the cointegrating relationship that represents the BEER equation. In our quarterly sample, comprising the years 2000-2013 for Poland, Hungary, Czech Republic and Romania, the parameters of real interest rate disparity, risk premium, Harrod-Balassa-Samuelson effect and terms of trade take the expected sign. These estimates seem to be more precise and robust to post-crisis instability than those obtained on the basis of time series approach, at least for Poland.(original abstract)

Słowa kluczowe

EN

Exchange rates; Behavioural finance; Econometrics

PL

Kurs walutowy; Finanse behawioralne; Ekonometria

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2014
• Numer: nr 34 Modelowanie danych panelowych : teoria i praktyka : III Ogólnopolska Konferencja
• Strony: 209--226

Twórcy

autor

Piotr Roszkowski

• Warsaw School of Economics, Poland

autor

Kamila Sławińska

• Collegium of Economic Analyses; Warsaw School of Economics Economic Institute; National Bank of Poland

autor

Andrzej Torój

• Warsaw School of Economics, Poland

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