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2017 | 17 | 97--114
Tytuł artykułu

Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models

Treść / Zawartość
Warianty tytułu
Weryfikacja hipotezy parytetu sił nabywczej dla kursu walutowego EUR/PLN w ramach wektorowych modeli korekty błędu z funkcją wygładzonego przejścia (ESTVECM)
Języki publikacji
EN
Abstrakty
Celem artykułu jest ocena empirycznych konsekwencji narzucenia hipotezy PPP w formie mocnej (ang. strong-form) dla kursu EUR/PLN przy wykorzystaniu wybranych modeli kointegracji nieliniowej, to jest modeli ESTVEC. Zasadność wykładniczej funkcji przejścia dla mechanizmu korekty błędu jest testowana w odniesieniu do liniowego modelu VEC. Konkurencyjne modele są porównywane zarówno pod względem dopasowania wewnątrz próby, jak i zdolności predyktywnych. Wyniki wspierają mechanizm wygładzonego przejścia w składniku deterministycznym. Żaden z modeli ESTVECM nie generuje systematycznie lepszych prognoz niż liniowy model VECM (abstrakt oryginalny)
EN
The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the likelihood ratio test, information criteria, and out of sample forecast accuracy measures. (original abstract)
Rocznik
Tom
17
Strony
97--114
Opis fizyczny
Twórcy
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
Bibliografia
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171495036

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