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Kujawski Lech
Realny kurs wymiany złotego i innych wybranych walut w perspektywie przystąpienia do strefy euro
Real Exchange Rate of Polish Zloty and Some Other European Currencies in Prospects of Joining to the Euro Area
Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego, 2007, nr 5, s. 155-169, tab., bibliogr. 14 poz.
Kurs walutowy, Euro, Dolar w systemie walutowym, Testy, Metoda Monte Carlo, Badania naukowe
Exchange rates, Euro, Dollar in currency system, Tests, Monte Carlo method, Scientific research
Dokonano weryfikacji stacjonarności realnego kursu wymiany walut siedmiu wybranych krajów wobec euro i dolara. Zaprezentowano test pierwiastka jednostkowego, test panelowy Levin`a i Lin`a oraz model ADF o strukturze stochastycznej typu SUR. Dokonując dopasowanego testowania (metodami Monte Carlo) wyznaczono wartości krytyczne testu SURADF, a następnie poddano testowaniu stacjonarności RER.

This paper contains long-ran purchasing power parity examination in the form of real exchange rate (RER) using single-equation as well as panel data methods to test for unit roots in Polish zloty and currencies of six other East European countries. According to many previous research results from Levin and Lin (LL) panel unit roots test provides much more evidence favourable to stationarity than single-equation ADF test. This paper demonstrate that panel LL test is incapable of determining the 1(0) and 1(1) in mixed series panel. We applied panel SURADF (developed by Breuer, McNown, Wallace) test to eliminate "all-or-nothing" nature of LL's both the null and alternative hypothesis. The SURADF affords several advantages over LL test. We suggest the most importatn is that SUR specification permits the magnitude of the autoregressive coefficient to differ across the panel member and thereby avoid the join null and alternative hypothesis. We demonstrate that the SURADF test affords a substantial gain in power in comparison with single-equation ADF. The test has triple the power of single-equation ADF test. Results from the SURADF test suggest stationarity of Polish zloty as well as three others panel member currencies. (original abstract)
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