Fundamental Analysis of Exchange Rates : Some Empirical Evidence for Poland

• Autorzy: Kazimierz Krauze
• Języki publikacji: EN

Abstrakty

EN

In the paper single equation cointegration techniques are applied in testing for the long-rung exchange rate models of zloty-euro, zloty-dollar and zloty-eurodollar under structural breaks. We detect relatively quite large set of fundamental variables which influence zloty-euro, zloty-dollar and zloty-eurodollar exchange rates. We find that dynamic models are fit better to reality then ststic models. Consequently, we expect that they should be more precise and thus more useful in prediction process. They also lead us to the long-run solution for zloty-euro, zloty-dollar and zloty-eurodollar exchange rates. In the next study, it would be interesting to develop not only Engle-Granger [3] approach (assuming one cointegrating vector), but also Johansen [6] technique (allowing for many cointegrating vectors) to case of various types of structural breaks and apply this approach in fundamental analysis. At last, forecasting exercises are much desired. (fragment of text)

Słowa kluczowe

EN

Exchange rates; Currencies; Statistical analysis; Purchasing power parity

PL

Kurs walutowy; Waluta; Analiza statystyczna; Parytet siły nabywczej

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2009
• Tom: Metody matematyczne, ekonometryczne i komputerowe w finansach i ubezpieczeniach 2007
• Strony: 137--146

Twórcy

autor

Kazimierz Krauze

• Maritime Academy Gdynia, Poland

Bibliografia

• Bernstein D.J.: Generalized Purchasing Power Parity and the Case of the European Union as a Successful Currency Area. "AEJ" 2000, Vol. 28, No 4.
• Charemza W.W., Deadman D.F.: New Directions in Econometric Practice. Edward Elgar, Aldershot 1992.
• Engle R.F., Granger C.W.J.: Cointegration and Error Correction: Representation, Estimation and Testing. "Econometrica" 1987, No 55.
• Gregory A.W., Hansen B.E.: Residual-Based Tests for Cointegration in Models with Regime Shifts. "Journal of Econometrics" 1996, No 70.
• Hallwood C.P., MacDonald R.: International Money and Finance. Black-well, Oxford 1994.
• Johansen S.: Statistical Analysis of Cointegration Vectors. "Journal of Economic Dynamic and Control" 1988, No 12.
• Johansen S.: Likelihood-Based Inference on Cointegration Yector Auto-regressive Models. Oxford University Press, Oxford 1995.
• Johansen S., Juselius K.: Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK. "Journal of Econometrics" 1992, No 53.
• Juselius K.: Long-Run Relations in a Well Defined Statistical Model for the Data Generating Process: Cointergration Analysis of the PPP and UIP Relations between Denmark and Germany. [in:] J. Gruber (ed.). Econometric Decision Models: New Methods of Modelling and Application. Springer Yerlag, New York 1991.
• Juselius K.: Do Purchasing Power Parity and Uncovered Interest Parity Hold in the Long Run? An Example of Likelihood Inference in a Multivariate Time-Series Model. "Journal of Econometrics" 1995, No 69.
• Koedijk K., Schootman P.: Dominant Real Exchange Rate Movements. "Journal of International Money and Finance" 1989, No 8.
• Krauze K.: Econometric modelling and hypothesis testing for integration and cointegration of time series under structural breaks (in Polish). Gdańsk University Publishers, Gdańsk 2002.
• Krauze K.: Testing for Purchasing Power Parity Hypothesis under Structural Breaks. The Case of Polish Zloty (in Polish). Higher School of Banking Publishers, Scientific Papers No 2, Poznań 2003.
• Krauze K.: Some Generalization of the Test Procedures for Cointegration in Models with Structural Breaks in the Conditional Process. "Statistical Review" 2003, No 50 (4).
• Krauze K.: Testing for Structural Change in a Cointegration Analysis of the PPP and the UIP for Poland. [in:] Macromodels'2003. W. Welfe and A. Welfe (eds). Łódź 2004.
• Krauze K.: Testing for Purchasing Power Parity of Zloty Hypothesis after 1999 (in Polish). Higher School of Banking Publishers, Scientific Papers No 3, Poznań 2004.
• Krauze K.: Zloty's Purchasing Power Parity Analysis on the Base of Currency Basket. [in:] Poland in the Euro Zone (in Polish). Higher School of Banking Publishers, Poznań 2005.
• Krauze K.: Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for Poland. [in:] Mathematical, Econometric and Information Methods in Finance and Insurance. University of Economics in Katowice, Katowice 2005.
• Krauze K.: Exchange Rate Modelling. An Attempt of Determining of Significant Fundamental Factors (in Polish). paper presented at IX th Conference "Dynamic Econometric Models". Nicolas Copernicus University in Toruń, Toruń 2005.
• Krauze K.: Exchange Rate Modelling - a Fundamental Analysis for Poland. [in:] FinndEcon Monograph Series: Advances in Financial Market Analysis, Vol. 1. Financial Markets: Principles of Modelling, Forecasting, and Decision Making. Lodz University Press, Łódź 2006.
• Ledesma F.J., Navarro M., Perez J.V., Sosvilla S.: Purchasing Power Parity and Uncovered Interest Parity: The Spanish Case. "IAER" 1998, No 4.
• Liu P.C.: Purchasing Power Parity in the Latin American Countries: A Cointegration Analysis. "Weltwirtschaftliches Archiv" 1992, No 128.
• Maddala G.S., Kim I-M.: Unit Roots, Cointegration and Structural Change. Cambridge University Press, Cambridge 1998.
• Montañés A., Clemente J.: Real Exchange Rates and Structural Breaks: Evidence for the Spanish Peseta. "Applied Economic Letters" 1998, No 6.
• Nessén M.: Common Trends in Prices and Exchange Rates. Tests of Long-Run Purchasing Power Parity. "Empirical Economics" 1996, No 21.
• Taylor M.P., Peel D.A., Sarno L.: Nonlinear Mean-Reversion in Real Ex-change Rates: Toward a Solution to the Purchasing Power Parity Puzzles. "International Economic Review" 2001, No 4.
• Zivot E., Andrews W.K.: Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. "Journal of Business and Economic Statistics" 1992, No 10.