Realny kurs wymiany złotego i innych wybranych walut w perspektywie przystąpienia do strefy euro

• Autorzy: Lech Kujawski

Warianty tytułu

Real Exchange Rate of Polish Zloty and Some Other European Currencies in Prospects of Joining to the Euro Area

• Języki publikacji: PL

Abstrakty

Dokonano weryfikacji stacjonarności realnego kursu wymiany walut siedmiu wybranych krajów wobec euro i dolara. Zaprezentowano test pierwiastka jednostkowego, test panelowy Levin`a i Lin`a oraz model ADF o strukturze stochastycznej typu SUR. Dokonując dopasowanego testowania (metodami Monte Carlo) wyznaczono wartości krytyczne testu SURADF, a następnie poddano testowaniu stacjonarności RER.

EN

This paper contains long-ran purchasing power parity examination in the form of real exchange rate (RER) using single-equation as well as panel data methods to test for unit roots in Polish zloty and currencies of six other East European countries. According to many previous research results from Levin and Lin (LL) panel unit roots test provides much more evidence favourable to stationarity than single-equation ADF test. This paper demonstrate that panel LL test is incapable of determining the 1(0) and 1(1) in mixed series panel. We applied panel SURADF (developed by Breuer, McNown, Wallace) test to eliminate "all-or-nothing" nature of LL's both the null and alternative hypothesis. The SURADF affords several advantages over LL test. We suggest the most importatn is that SUR specification permits the magnitude of the autoregressive coefficient to differ across the panel member and thereby avoid the join null and alternative hypothesis. We demonstrate that the SURADF test affords a substantial gain in power in comparison with single-equation ADF. The test has triple the power of single-equation ADF test. Results from the SURADF test suggest stationarity of Polish zloty as well as three others panel member currencies. (original abstract)

Słowa kluczowe

PL

Kurs walutowy; Euro; Dolar w systemie walutowym; Testy; Metoda Monte Carlo; Badania naukowe

EN

Exchange rates; Euro; Dollar in currency system; Tests; Monte Carlo method; Scientific research

• Czasopismo: Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego
• Rocznik: 2007
• Numer: nr 5
• Strony: 155--169

Twórcy

autor

Lech Kujawski

Bibliografia

• Bilski J. (2006), Międzynarodowy system walutowy, Warszawa, PWE.
• Breuer J.B., R. McNown, M. Wallace (1999), Series-specific Test for a Unit Root in a Panel Setting with an Application to Real Exchange Rates, University of Colorado Working Paper. No. 99-09.
• Breuer J.B., R. McNown, M. Wallace (2001), Misleading Inferences from Panel Unit-Root Tests with an Illustration from Purchasing Power Parity, Review of International Economics. No 9(3), s.482-493.
• Breuer J.B., R. McNown, M. Wallace (2002), Series-specific Unit Root Tests with Panel Data, Oxford Bulletin of Economics and Statistics, Vol 64, s.527-546.
• Frankel J.A. (1993), No Single Currency Regime is Right for all Country or at all Times, Essays in International Finance, No. 215, Princeton University.
• Hoang N, R. McNown (2006), Panel Data Unit Roots Tests Using Various Estimation Methods, University of Colorado Bulletin, Vol 6, s.33-66.
• Kujawski L., K. Strzała (2002), PPP in Transition Countries - Some Empirical Results, Amfet; ISBN 83-88384-54-6.
• Maddala G.S., S. Wu (1997), A comparative study of unit root tests with panel data and a new simple test, Oxford Bulletin of Economic and Statistics, Special Issue (0305-9049).
• Przystupa J., (2003), Szacunki realnego kursu równowagi długookresowej dla Polski, Bank i Kredyt ml 1-12/2003.
• Rosenberg R.M.(1996), Currency Forecasting. A Guide to Fundamental and Technical Models of Exchange Rate Determination, IRWIN Inc.
• Taylor M.A. (2001), Potential pitfalls for the purchasing-power- parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price, Econometrica. Vol 69. No. 2; s.473-498.
• Taylor M.P., D. Peel, L. Sarno (2001), Nonlinear mean-revision in real exchange rates: toward a solution to the purchasing power parity puzzles, International Economic Review. Vol. 42. No 4.
• Taylor M.A. (2002), A Century of Purchasing-Power Parity, The Review of Economic and Statistics, 84(1); s.139-150.
• Theil H. (1979), Zasady ekonometrii, Warszawa PWN.