- Tytuł:
- The Behaviour of Exchange Rates in the Central European Countries and Credit Default Risk Premiums
- Autorzy:
- Kębłowski, Piotr
- Powiązania:
- https://bibliotekanauki.pl/articles/483375.pdf
- Data publikacji:
- 2011
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
exchange rates
exchange rate misalignments
EU New Member States
panel VEC model
credit default swap - Opis:
- 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.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2011, 3, 4; 221-236
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł