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Kelm Robert, Bęza-Bojanowska Joanna
Polityka monetarna i fiskalna a odchylenia relanego kursu złoty/euro od kursu równowagi w okresie styczeń 1995 r.-czerwiec 2004 r.
Monetary and fiscal policy and the deviation of the real zoty/euro exchange rate from the equilibrium exchange rate for the period January 1995 - June 2004
Bank i Kredyt, 2005, nr 10, s. 4-19, bibliogr. 40 poz.
Słowa kluczowe
Europejski Mechanizm Kursowy (ERM II), Polityka pieniężna, Polityka podatkowa, Kurs walutowy, Modele ekonometryczne
Exchange Rate Mechanism (ERM II), Monetary policy, Tax policy, Exchange rates, Econometric models
W artykule przedstawiono analizę ekonometryczną kursu złoty/euro w latach 1995-2004 w ramach modeli behawioralnych kursów równowagi, budowanych wokół równania nieubezpieczonego parytetu stóp procentowych. Analizę skoncentrowano wokół tezy, że główną przyczyną zmienności kursu złotego są wahania ryzyka.

The aim of the article is to analyse the zloty equilibrium exchange rate against the euro allowing for the preparation of recommendations for the fiscal and monetary policy in the period preceding the adoption of the euro. While discussing the strategy of accession to the ERM II an important issue would not only be the assessment of the equilibrium exchange rate but also the identification of the volatility of the zloty/euro exchange rate determinants. It is for the above reason that research on the exchange rate of the zoty against the euro was conducted within the framework of behavioural equilibrium rates models. The analysis is focused on the thesis that the key reason for the zloty exchange rate volatility is the risk swings. Initially verified hypotheses account for a medium-term relation of the real exchange rate to the situation in the fiscal sector and the balance of payments. In the final form of the model the transmission of effects related to budgetary imbalance is effected through interest rates. Therefore, the specification of the currency rate equation does not comprise an approximation of demand factors - an element which is disputable, in the light of empirical studies. The results of the estimation provide grounds for the conclusion that in the period under analysis there was a stable relation between the zloty/euro exchange rate and the volatility of relative interest rates, fluctuations in the short-term central government debt and the balance of trade while multiplier analysis suggests that the factor with the strongest impact on periodical deviation of the exchange rate is the proportion of the value of Treasury bills in circulation and the gross national product. The existence of a strong correlation between the exchange rate adjusted for production prices in the manufacturing and the risk premium also provides grounds for formulating rather serious reservations related to standard approach in which the fulfilment of the PPP
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
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