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This paper continues the author's recent studies devoted to the problem of modelling the zloty-euro exchange rate1. The exchange rate is that type of macroeconomic category whose behaviour is often influenced by unexpected and significant breaks. Our past experiences give the impression that technical analysis used in that case seems to be a proverbial fortune telling from dregs. It happens that conclusions resulting from this analysis are extremely different and may wrongly suggest a feeling of helplessness in the possibility of finding the satisfactory recognition of studying some economic rules.(fragment of text)
Twórcy
autor
- Maritime Academy Gdynia, Poland
Bibliografia
- Engle, R. F., Granger, C. W. J. (1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, 251-276.
- Granger, C. W. J. (1969), Investigation Causal Relationship by Econometric Modes and Cross-Spectral Methods, Econometrica, 37, 24-36.
- Gregory, A. W., Hansen, B. E. (1996a), Residual-Based Tests for Cointegration in Models with Regime Shifts, Journal of Econometrics, 70, 99-126.
- Gregory, A. W., Hansen, B. E. (1996b), Tests for Cointegration in Models with Regime and Trend Shifts, Oxford Bulletin of Economics and Statistics, 58, 555-560.
- Krauze K. (2002), Econometric Modelling and Hypothesis Testing for Integration and Cointegration of Time Series under Structural Breaks, (in Polish), Gdańsk University Publishers, Gdańsk.
- Krauze K. (2003), Modelling Euro-Zloty, (in Polish), paper presented at the Scientific Conference: Financial Service Market in European Union - Chances and Challenges for Poland, Gdańsk.
- Krauze K. (2004), Zloty-Euro Exchange Rate Models. Results of Estimation, Testing and Forecasting, in: Financial Service Market in European Union - Chances and Challenges for Poland (in Polish), Higher School of Banking Publishers, Poznań, 235-253.
- Kremers, J. J. M., Ericsson, N. R., Dolado, J. .J. (1992), The Power of Cointegration Tests, Oxford Bulletin of Economics and Statistics, 54, 325-348.
- Newbold, P., Davies, N. (1978), Error Misspecification and Spurious Regressions, International Economic Review, 19, 513-519.
- Prices in the national economy in 2001. Information and statistical papers (2002), (in Polish), Central Statistical Office (GUS), Warsaw.
- Prices in the national economy in 2002. Information and statistical papers (2003), (in Polish), Central Statistical Office (GUS), Warsaw.
- 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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