- Tytuł:
-
Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna
The Monetary Model of the Zloty-Euro Equilibrium Exchange Rate: Cointegration Analysis - Autorzy:
- Wdowiński, Piotr
- Powiązania:
- https://bibliotekanauki.pl/articles/574303.pdf
- Data publikacji:
- 2011-03-31
- Wydawca:
- Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
- Tematy:
-
Frankel monetary model
zloty/euro equilibrium exchange rate
cointegration analysis
vector error correction model - Opis:
- The author carries out a cointegration analysis for the nominal exchange rate of the zloty against the euro according to a monetary theory developed by U.S. economist Jeffrey A. Frankel (1979). Wdowiński estimates a cointegration vector for the period 1999M7-2008M9. Long-term estimates show that the euro exchange rate depends on changes in industrial production and on short- and long-term interest rates, the author says. The influence of M1 money supply proves to be statistically insignificant. The departure of the euro rate from a state of monetary equilibrium was corrected slowly, the author says, because the half-life of the divergence was almost two years. The solution of the model showed that the euro exchange rate diverged significantly from a state of equilibrium determined by fundamental factors in the 1999M7-2004M1 period, while showing smaller deviations in the 2004M2-2008M9 period. Overall, the author observed periods when the zloty was both overvalued and undervalued against the euro due to a long-term equilibrium rate. The deviations stabilized noticeably from May 2003. In the 2003M5-2006M3 period, the zloty was overvalued by 9.6% on average, while in the 2006M4-2008M9 period it was undervalued by 9.3%. In the short term, the zloty tended to appreciate as a result of increases in short-term interest rates. According to the author, fundamental economic factors in Poland and the euro area point to the existence of a trend whereby the zloty is gaining ground against the euro, while short-term changes in this rate may be significant due to a growing macroeconomic risk.
- Źródło:
-
Gospodarka Narodowa. The Polish Journal of Economics; 2011, 246, 3; 67-86
2300-5238 - Pojawia się w:
- Gospodarka Narodowa. The Polish Journal of Economics
- Dostawca treści:
- Biblioteka Nauki
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