- Tytuł:
- Changes of exchange rate behavior during and after crisis
- Autorzy:
- Syczewska, Ewa Marta
- Powiązania:
- https://bibliotekanauki.pl/articles/453660.pdf
- Data publikacji:
- 2010
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
Exchange rates
stock indices
crisis
risk
autoregressive and conditional heteroskedasticity models
Granger causality - Opis:
- "This study extends earlier analysis, in which behavior of daily exchange rates during the global crisis was compared to that before crisis. We repeat similar comparison for data set extended until the end of April 2010, use ARMA/ARMAX and GARCH models with stock indices as additional regressors, for volatility and returns of EURPLN, EURUSD, USDPLN exchange rates. Marked increase in volatility during crisis, negatively affected quality of models. After crisis volatility and returns seem to stabilize, hence exchange rate risk seems to decline gradually. There is a slight improvement in quality of models after the crisis."
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 145-157
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł