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2006 | Mathematical, econometrical and computational methods in finance and insurance | 27--37
Tytuł artykułu

Modelling the PLN/EUR Exchange Rate - Long Term Relationships with Non-Linear Adjustment

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Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In the paper we consider modelling the PLN/EUR exchange rate with the help of linear long-term relationships with nonlinear adjustment. A nonlinear adjustment process makes it possible to explain the observed long lasting misalignment of exchange rates with the economic fundamentals. This misalignment is called in the literature an "exchange rate puzzle". In our paper different specifications of adjustment processes are considered: bilinear, ESTAR and SETAR. Firstly, we examine long-term relationships for the real exchange rate in Poland in the threshold cointegration and smooth transition cointegration frameworks. Besides, we also try to evaluate the influence of speculative behaviour on exchange rate movements. The investigation attempts to discriminate between two competing explanations of deviations of a currency from its long-term value: speculative bubbles and non-linear mean reverting dynamics. From an econometric point of view it involves applications of three tests: the threshold cointegration test of Enders and Siklos, the smooth transition cointegration test of Kapetanios, Shin and Snell and the b test for unit root bilinearity of Charemza, Lifshits and Makarova. These tests are accompanied by a battery of linearity tests applied to adjustment processes under scrutiny. (fragment of text)
Twórcy
  • Uniwersytet Mikołaja Kopernika w Toruniu
Bibliografia
  • Balke N.S., Fornby T.B.: Threshold Cointegration. "International Economic Review" 1997, No 38.
  • Chaouachi S., Dufrenot G., Mignon V.: Modelling the Misalignments of the Dollar-Sterling Real Exchange Rate: A Nonlinear Cointegration Perspective. University of Paris XII Working Papers Series 2003.
  • Charemza W.W., Deadman D.F.: New Directions in Econometric Practice. Edward Elgar, Cheltenham 1997.
  • Charemza W.W., Lifshits M., Makarova S.: Conditional Testing for Unit-Root Bilinearity in Financial Time Series: Some Theoretical and Empirical Results. "Journal of Economic Dynamics and Control" 2005, No 29.
  • Dufrenot G., Mathieu L., Mignon V., Peguin-Feissolle A.: Persistent Misalignments of the European Exchange Rates: Some Evidence from Nonlinear Cointegration. University of Paris XII Working Papers Series 2002.
  • Dufrenot G., Mignon V.: Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance. Kluwer Academic Publishers, Boston 2002.
  • Enders W., Granger C.W.J.: Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates. "Journal of Business and Economic Statistics" 1998, No 16.
  • Enders W., Siklos P.L.: Cointegration and Threshold Adjustment. "Journal of Business and Economic Statistics" 2001, No 19.
  • Kapetanios G., Shin Y., Snell A.: Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models. Edinburgh School of Economics Working Papers Series 2004.
  • Michael P., Nobay A.R., Peel D.A.: Transaction Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation. "Journal of Political Economy" 1997, No 105.
  • Milo W., Wrzesiński D.: Real Exchange Rates Analysis. Paper presented at the IV International Conference, FindEcon, Łódź, 10-12 May 2004.
  • Rubaszek M.: Model Równowagi Bilansu Płatniczego. Zastosowanie wobec Kursu Złotego. "Bank i Kredyt" 2003, No 5.
  • Sarno L., Taylor M.P.: The Economics of Exchange Rates. Cambridge University Press, Cambridge 2002.
  • Sephton S.: Extended Critical Values for a Simple Test for Cointegration. "Applied Economic Letters" 1996, No 3.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171431866

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