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2006 | nr 1 Financial markets : principles of modeling forecasting and decision-making | 187--202
Tytuł artykułu

Exchange rate Modeling - A Fundamental Analysis for Poland

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Chapter 13 deals with fundamental analysis of PLN/USD and PLN/EUR exchange rates. The following theories have been empirically assessed: interest rate parity, purchasing power parity, asset market model, and the balance of payments model. The models have been verified with unit root and cointegralion methodology, including structural breaks. It has been found that dynamic models perform better then static models. (fragment of text)
Twórcy
  • Maritime Academy Gdynia, Poland
Bibliografia
  • Bernstein D. J. (2000), "Generalized Purchasing Power Parity and the Case of the European Union as a Successful Cuuency Area", Atlantic Economic Journal, 28(4), 385-395.
  • Charemza W. W., Deadman D. F. (1992), New Directions in Econometric Practice, Aldershot: Edward Elgar.
  • Engle R. F., Granger C. W. J. (1987), "Cointegration and Error Correction: Representation, Estimation and Testing", Econometrica, 55, 251-276.
  • Gregory A. W., Hansen B. E. (1996), "Residual-Based Tests for Cointegration in Models with Regime Shifts", Journal of Econometrics, 70, 99-126.
  • Hallwood C. P., MacDonald R. (1994), International Money and Finance, Oxford: Blackwell.
  • Johansen S. (1988), "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamic and Control, 12, 231-254.
  • Johansen S. (1995), Likelihood-Based Inference on Cointegration Vector Autoregressive Models, Oxford: Oxford University Press.
  • Johansen S., Juselius K. (1992), "Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the U1P for UK", Journal of Econometrics, 53, 211-244.
  • Juselius K. (1991), "Long-Run Relations in a Well Defined Statistical Model for the Data Generating Process: Cointegration Analysis of the PPP and UIP Relations between Denmark and Germany", in: Gruber J. (ed.), Econometric Decision Models: New Methods of Modelling and Application, New York: Springer-Verlag.
  • Juselius K. (1995), "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, 69, 211-240.
  • Koedijk K., Schootman P. (1989), "Dominant Real Exchange Rate Movements", Journal of International Money and Finance, 8, 517-531.
  • Krauze K. (2002), Econometric Modelling and Hypothesis Testing for Integration and Cointegration of Time Series under Structural Breaks (in Polish), Gdańsk: Gdańsk, University
  • Krauze K. (2003a), "Testing for Purchasing Power Parity Hypothesis under Structural Breaks. The Case of Polish Zloty" (in Polish), Poznan: Poznań Higher School of Banking Publishers, Gdańsk HSB Scientific Works, 2, 21-36.
  • Krauze K. (2003b), "Some Generalization of the Test Procedures for Cointegration in Models with Structural Breaks in the Conditional Process", Statistical Review, 50(4), 25-34.
  • Krauze K. (2004a), "Testing for Structural Change in a Cointegration Analysis of the PPP and the UIP for Poland", in: Welfe W., Welfe A. (eds), Macromodels'2003, Łódź: Łódź University Press, 181-198.
  • Krauze K. (2004b), "Testing for Zloty's Purchasing Power Parity Hypothesis after 1999" (in Folish), Foznań: Poznań Higher School of Banking Publishers, Gdańsk HSB Scientific Works, 3, 125-140.
  • Krauze K. (2005a), "Zloty's Purchasing Power Parity Analysis on Base of the Currency Basket", in: Poland in the Euro Zone (in Polish), Poznań: Poznań Higher School of Banking Publishers, 239-256.
  • Krauze K. (2005b), "Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for Poland", in: Mathematical, Econometric and Information Methods in Finance and Insurance, Katowice: University of Economics in Katowice (in press).
  • Ledesma F. J., Navarro M., Perez J. V., Sosvilla S. (1998), "Purchasing Power Parity and Uncovered Interest Parity: The Spanish Case", International Advances in Economic Research, 4(4), 335-348.
  • Liu P. C. (1992), "Purchasing Power Parity in the Latin American Countries: A Cointegration Analysis", Weltwirtschaftliches Archiv, 128, 662-680.
  • Maddala G. S., Kim I.-M. (1998), Unit Roots, Cointegration and Structural Change, Cambridge: Cambridge University Press.
  • Montanes A., Clemente J. (1998), "Real Exchange Rates and Structural Breaks: Evidence for the Spanish Peseta", Applied Economic Letters, 6, 349-352.
  • Nessén M. (1996), "Common Trends in Prices and Exchange Rates. Tests of Long-Run Purchasing Power Parity", Empirical Economics, 21, 381-400.
  • Taylor M. P., Peel D. A., Sarno L. (2001), "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles", International Economic Review, 42(4), 1015-1042.
  • Zivot E., Andrews W. K. (1992), "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Journal of Business and Economic Statistics, 10, 251-270.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171273881

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