Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models

• Autorzy: Adrian Marek Burda , Błażej Mazur , Mateusz Pipień

Warianty tytułu

Weryfikacja hipotezy parytetu sił nabywczej dla kursu walutowego EUR/PLN w ramach wektorowych modeli korekty błędu z funkcją wygładzonego przejścia (ESTVECM)

• Języki publikacji: EN

Abstrakty

EN

The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the likelihood ratio test, information criteria, and out of sample forecast accuracy measures. (original abstract)

Celem artykułu jest ocena empirycznych konsekwencji narzucenia hipotezy PPP w formie mocnej (ang. strong-form) dla kursu EUR/PLN przy wykorzystaniu wybranych modeli kointegracji nieliniowej, to jest modeli ESTVEC. Zasadność wykładniczej funkcji przejścia dla mechanizmu korekty błędu jest testowana w odniesieniu do liniowego modelu VEC. Konkurencyjne modele są porównywane zarówno pod względem dopasowania wewnątrz próby, jak i zdolności predyktywnych. Wyniki wspierają mechanizm wygładzonego przejścia w składniku deterministycznym. Żaden z modeli ESTVECM nie generuje systematycznie lepszych prognoz niż liniowy model VECM (abstrakt oryginalny)

Słowa kluczowe

EN

Purchasing power parity; Cointegration; Exchange rates; Forecasting; Vector error correction model (VECM)

PL

Parytet siły nabywczej; Kointegracja; Kurs walutowy; Prognozowanie; Model wektorowej korekty błędem

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2017
• Tom: 17
• Strony: 97--114

Twórcy

autor

Adrian Marek Burda

• Cracow University of Economics, Poland

autor

Błażej Mazur

• Cracow University of Economics, Poland

autor

Mateusz Pipień

• Cracow University of Economics, Poland

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Identyfikatory

DOI

10.12775/DEM.2017.006