Zmiany strukturalne w kursach wymiany złotego

• Autorzy: Małgorzata Doman , Ryszard Doman

Warianty tytułu

Structural Breaks in Polish Exchange Rates

• Języki publikacji: PL

Abstrakty

Celem prezentowanej analizy jest zbadanie zmian strukturalnych, występujących w dynamice stóp zwrotu kursów walutowych EUR/PLN, GBP/PLN, NOK/PLN i USD/PLN w okresie od momentu wprowadzania pełzającego pasma jako reżimu kursowego do marca 2006 roku. (fragment tekstu)

EN

The time series of exchange rate returns very often exhibit structural changes in their dynamics. This feature can be possibly connected with the changes in exchange rate regime or with some events in macroeconomic environment. In the paper we investigate the structural changes in the volatility of the exchange rates of Polish zloty against euro, American dollar, Norwegian krone and British pound. To discover the character of these changes we use two groups of regime switching models - Markov switching GARCH models and smooth transition GARCH models. Both type of models show almost the same moments of the structural changes in the dynamics of analyzed exchange rate returns. The most significant change is usually connected rather with the widening of crawling band and not with the floating of Polish zloty. The forecast abilities of MS-GARCH and ST-GARCH models are similar. (original abstract)

Słowa kluczowe

PL

Kurs złotego; Kurs walutowy; Instrumenty finansowe; Zmiany strukturalne

EN

Polish Zloty exchange rate; Exchange rates; Financial instruments; Structural changes

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2007
• Numer: nr 92
• Strony: 78--99

Twórcy

autor

Małgorzata Doman

• Akademia Ekonomiczna w Poznaniu

autor

Ryszard Doman

• Uniwersytet im. Adama Mickiewicza w Poznaniu

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