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2011 | nr 8 | 29
Tytuł artykułu

A risk-driven approach to exchange-rate modelling

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The paper presents a new approach to exchange rate modelling that augments the CHEER model with a sovereign credit default risk as perceived by financial investors making their decisions. In the cointegrated VAR system with nine variables comprised of the short- and long-term interest rates in Poland and the euro area, inflation rates, CDS indices and the zloty/euro exchange rate, four long-run relationships were found. Two of them link term spreads with inflation rates, the third one describes the exchange rate and the fourth one explains the inflation rate in Poland. Transmission of shocks was analysed by common stochastic trends. The estimation results were used to calculate the zloty/euro equilibrium exchange rate.(original abstract)
Rocznik
Numer
Strony
29
Opis fizyczny
Twórcy
  • University of Lodz, Poland
  • University of Lodz, Poland
Bibliografia
  • Bęza-Bojanowska, J. (2009). Behavioral and permanent zloty/euro equilibrium rate', Central European Journal of Economic Modeling and Econometrics, Vol. 1, pp. 35-55.
  • Chen, S.-S. Chou, Y.-H. (2010). 'Exchange rates and fundamentals: evidence from long-horizon regression tests', Oxford Bulletin of Economics and Statistics, Vol. 72, pp. 63-88.
  • Doornik, J.A. Hansen, H. (2008). An omnibus test for univariate and multivariate normality', Oxford Bulletin of Economics and Statistics, Vol. 70, pp. 927-939.
  • ECB report (2009). Credit default swaps and counterparty risk', ECB, Frankfurt o/M.
  • Ericsson, N.R., Hendry, D.F. Mizon, G.E. (1998). Exogeneity, cointegration, and economic policy analysis, "Journal of Business and Economic Statistics", Vol. 16, pp. 370-387.
  • Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium relationships, "Journal of Econometrics", Vol. 60, pp. 203-233.
  • Harbo, I., Johansen, S., Nielsen, B. and Rahbek, A. (1998). Asymptotic inference on cointegrating rank in partial systems, "Journal of Business and Economic Statistics", Vol. 16, pp. 388-399.
  • Inci, A.C. and Lu, B. (2004). Exchange rates and interest rates: can term structure models explain currency movements?, "Journal of Economic Dynamics & Control", Vol. 28, pp. 1595-1624.
  • Johansen, S. (1996). Likelihood-based inference in cointegrated vector autoregressive models', in. C.W.J. Granger and G.E. Mizon (eds), Advanced Texts in Econometrics, Oxford University Press, Oxford.
  • Johansen, S. (2002). A small sample correction for the test of cointegrating rank in the vector autoregressive model, "Econometrica", Vol. 70, pp. 1929-1961.
  • Johansen, S. Juselius, K. (1992). Testing structural hypotheses in a multivariate cointegration analysis of the PPP And the UIP for UK, "Journal of Econometrics", Vol. 53, pp. 211-244.
  • Juselius, K. (1995). Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series mode, "Journal of Econometrics", Vol. 69, pp. 211-240.
  • Juselius, K. MacDonald, R. (2003). International parity relationships between Germany and the United States: a joint modeling approach', working paper, http://www.econ.ku.dk/okokj/Papers/ronnie3.pdf.
  • Juselius, K. MacDonald, R. (2004). International parity relationships between the USA and Japan, "Japan and the World Economy", Vol. 16, pp. 17-34.
  • Kelm, R. (2010). Model behawioralnego kursu równowagi złotego do euro w okresie styczeń 1996 - czerwiec 2009 r., "Bank i Kredyt", Vol. 41, pp. 21-42.
  • Kębłowski, P. (2005). Small sample power of Bartlett corrected likelihood ratio test of cointegration rank', working paper, http://www.ualg.pt/feua/conf/urct/prog/ps1/ p1027.pdf.
  • Kębłowski, P. Welfe, A. (2010). Estimation of the equilibrium exchange rate: the CHEER approach, "Journal of International Money and Finance", Vol. 29, pp. 1385-1397.
  • Łyziak, T. (2003). Consumer inflation expectations in Poland, ECB Working Paper Series No. 287, ECB, Frankfurt o/M.
  • MacDonald, R. (2000). Concepts to calculate equilibrium exchange rates: an overview', Discussion Paper No. 3, Deutsche Bundesbank, Frankfurt o/M.
  • Rahn, J. (2003). Bilateral equilibrium exchange rates of EU accession countries against the euro, BOFIT Discussion Papers No. 11, Helsinki.
  • Rubaszek, M. (2004a). Modelowanie optymalnego poziomu realnego efektywnego kursu złotego. Zastosowanie koncepcji fundamentalnego kursu równowagi, "Materiały i Studia", Vol. 175, Warsaw.
  • Rubaszek, M. (2004b). A model of balance of payments equilibrium exchange rate, "Eastern European Economics", Vol. 42, pp. 5-22.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171231293

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