The Behaviour of Exchange Rates in the Central European Countries and Credit Default Risk Premiums

• Autorzy: Piotr Kębłowski
• Języki publikacji: EN

Abstrakty

EN

We test whether the floating exchange rates of the EU New Member States against the euro are determined jointly within the panel VEC framework. We find that the exchange rates of the Czech koruna, the Polish zloty and the Hungarian forint follow the same long-run relationship, in which the real exchange rates are explained by the real interest rates parities and the spreads of the credit default risk premiums. In case of the Romanian leu, the common relationship is rejected, which is likely due to differences in the economic setting. The results confirm that the currency markets of these three countries are closely related, since the appreciation/depreciation of one currency leads to similar movements in the other currencies of the NMS. The estimated misalignments exhibit some common patterns in terms of time spans and percentage values of under/overvaluation. (original abstract)

Słowa kluczowe

EN

Exchange rates; Floating exchange rates; Credit risk; Vector error correction model (VECM)

PL

Kurs walutowy; Płynny kurs walutowy; Ryzyko kredytowe; Model wektorowej korekty błędem

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2011
• Tom: 3
• Numer: nr 4
• Strony: 221--237

Twórcy

autor

Piotr Kębłowski

• University of Lodz, Poland

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2011.119313