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Roszkowski Piotr (Warsaw School of Economics, Poland), Sławińska Kamila (Collegium of Economic Analyses; Warsaw School of Economics Economic Institute; National Bank of Poland), Torój Andrzej (Warsaw School of Economics, Poland)
BEER tastes better in a panel of neighbours. On equilibrium exchange rates in CEE countries
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2014, nr 34, s. 209-226, rys., tab., bibliogr. 27 poz.
Issue title
Modelowanie danych panelowych : teoria i praktyka : III Ogólnopolska Konferencja
, Kurs walutowy, Finanse behawioralne, Ekonometria
, Exchange rates, Behavioural finance, Econometrics
We follow the behavioural equilibrium exchange rate (BEER) approach to estimate the misalignments of real exchange rates in selected Central European countries, including Poland, in a sample that covers both pre- and post-crisis period. We add to the existing literature by applying a panel approach with FM-OLS estimator of the cointegrating relationship that represents the BEER equation. In our quarterly sample, comprising the years 2000-2013 for Poland, Hungary, Czech Republic and Romania, the parameters of real interest rate disparity, risk premium, Harrod-Balassa-Samuelson effect and terms of trade take the expected sign. These estimates seem to be more precise and robust to post-crisis instability than those obtained on the basis of time series approach, at least for Poland.(original abstract)
The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business
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