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Czasopismo
2014 | nr 3 | 225--265
Tytuł artykułu

Funkcjonowanie kanału kursowego oraz siła efektu pass-through w gospodarkach wschodzących : przypadek Polski, Czech i Węgier

Warianty tytułu
Exchange Rate Channel Effectiveness and Pass-Through Effect in Emerging Economies : the Case of Poland, the Czech Republic and Hungary
Języki publikacji
PL
Abstrakty
Celem pracy jest porównanie efektu pass-through (efektu przeniesienia) kursu walutowego oraz funkcjonowania kanału kursowego w krajach CEE-3 (Polska, Czechy i Węgry), a także identyfikacja czynników powodujących zróżnicowanie wpływu wahań kursowych na procesy inflacyjne w rozpatrywanych gospodarkach. W badaniu wykorzystano strukturalne modele wektorowej autoregresji (SVAR). Poruszony został problem funkcjonowania kanału kursowego w gospodarkach wschodzących w kontekście zbieżności ich kursów pod wpływem czynników globalnych oraz występowania zjawiska carry trade. Analizie poddano również różnice strukturalne dzielące rozpatrywane kraje, uwzględniając skuteczność procesu dezinflacji, stopień otwartości gospodarki, rozmiar rynku danej waluty oraz zmienność jej kursu. Otwarta pozostaje kwestia asymetrii oraz nieliniowości efektu przeniesienia, a także jego zależności od fazy cyklu koniunkturalnego. (abstrakt oryginalny)
EN
The aim of this paper is a comparative analysis of the exchange rate pass-through and the role of exchange rate channel in CEE-3 countries (Poland, Czech Republic, Hungary), as well as an identification of the factors responsible for the different impact of exchange rate fluctuations on inflation in the considered economies. The study was conducted using structural vector autoregression models (SVAR). The problem of the interest rate channel effectiveness in emerging economies has been discussed in the context of common movement of their exchange rates due to the global factors and the popularity of carry trade transactions. The analysis have taken into account the structural factors that differentiate the analysed countries: the effectiveness of the disinflation process, the degree of openness of the economy, the size of the currency market and the exchange rate volatility. The potential asymmetry and non-linearity of the pass-through effect, as well as its dependence on the business cycle phase remain an open question. (original abstract)
Czasopismo
Rocznik
Numer
Strony
225--265
Opis fizyczny
Twórcy
  • Szkoła Główna Handlowa w Warszawie
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Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171282907

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