BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Gawrońska-Nowak Bogna, Walerysiak Grzegorz
Tytuł
Krytyczne podejście do monetarystycznych modeli kursu walutowego
Critical Approach Towards Monetarist Models of Exchange Rate.
Źródło
Gospodarka w Praktyce i Teorii, 2008, nr 3, s. 19-29, bibliogr. 24 poz.
Słowa kluczowe
Kurs walutowy, Prognozowanie kursów walut, Monetaryzm
Exchange rates, Exchange rates forecasting, Monetarist
Uwagi
summ.
Abstrakt
Zaprezentowano obowiązujący w Polsce system płynnego kursu walutowego i jego konsekwencje. Przedstawiono teoretyczne podstawy modeli monetarystycznych z krytycznym komentarzem dotyczącym empirycznej weryfikacji modelu.

Recently, there has been high volatility of Polish exchange rate together with long run appreciation, which was dramatically inverted in last weeks observed. Exchange rate volatility matters for different economic actors in various ways (it depends on their positions in currency and good markets). Anyway, exchange rate forecasting is extremely important for all of them. The monetarist models can be easily applied (data on macro-fundamentals are quite accessible). In this paper we critically present three variants of the monetary models. The critical remarks refer mostly to empirical verification of the models, which is quite limited in the short run. Moreover, intensified globalization processes make efficient market hypothesis vulnerable, especially if we consider heterogeneity of expectations and risk preferences. Therefore, it is hard to accept monetarist models as ideal representation of the exchange rate volatility puzzle complexity. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Bibliografia
Pokaż
  1. Copeland L., Exchange Rates and International Finance, Prentice Hall, 2005.
  2. Cushman D.O., The Failure of the Monetary Exchange Rate Model for the Canadian - U.S. Dollar, "Canadian Journal of Economics", No. 33, 2000.
  3. Dornbusch R., Expectations and Exchange Rate Dynamic, "Journal of Political Economy", No. 84, 1976.
  4. Finn M.G., Forecasting the Exchange Rate: A Monetary or Random Walk Phenomenon?, "Journal of International Money and Finance", No. 5, 1986.
  5. Flood R.P., Rose A.K., Fixing Exchange Rates: A Virtual Quest for Fundamentals, "Journal of Monetary Economics", No. 36, 1995.
  6. Frankel J.A., On the Mark: A Theory of Floating Exchange Rate Based on Real Interest Differentials, "American Economic Review", No. 69, 1979.
  7. Goldstein M., Isard P., Mechanisms for Promoting Global Monetary Stability, [w:] M. Goldstein, P. Isard, P.R. Masson, M.P. Taylor, Policy Issues in the Evolving International Monetary System, Occasional Paper No. 96, Washington DC: IMPF, 1992.
  8. Groen J.J.J., The Monetary Exchange Rate Model as a Long-Run Phenomenon, "Journal of International Economics", No. 52, 2000.
  9. Jajuga K., Metody statystyczne w finansach, Stat Soft Polska, 2008.
  10. Kilian L., M. Taylor, Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?, "Tinbergen Institute Discussion Paper TI", No. 4, 2001.
  11. Krugman P., Obstfeld M., International Economics, International Economics: Theory and Policy, Addison Wesley, 2003.
  12. Krugman P., Obstfeld M,. Ekonomia międzynarodowa. Teoria i praktyka, tom 2, Wydawnictwo Naukowe PWN, Warszawa 2007.
  13. MacDonald R., Taylor M.P., The Monetary Model to the Exchange Rate: Rational Expectations, Long Equilibrium, and Forecasting, "International Monetary Fund Staff Papers", No. 40, 1993.
  14. Mark N.C., Choi D-Y., Real Exchange Rate Prediction over Long Horizons, "Journal of International Economics", No. 43, 1997.
  15. Mark N.C., Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability, "American Economic Review", No. 85, 1995.
  16. Meese R.A., Rose A.K., An Empirical Assessment of ^Son-Linearities in Models of Exchange Rate Determination, "Review of Economic Studies", No. 58, 1991.
  17. Meese R.A., Rogoff K., Empirical Exchange Rate Models of the Seventies: Do They Fit out of the Sample?, "Journal of International Economics", No. 14, 1983.
  18. Miszkin F.S., Ekonomika pieniądza, bankowości i rynków finansowych, Wydawnictwo Naukowe PWN, Warszawa 2002.
  19. Moosa I.A.A, Structural Time Series Test of Monetary Model of Exchange Rate under the German Hyperinflation, "Journal of International Financial Markets, Institutions & Money", No. 10, 2000.
  20. Neely C.J., Sarno L., How Well Do Monetary Fundamentals Forecast Exchange Rates?, "Federal Reserve Bank of St. Louis Review", No. 84, 2002.
  21. Schinasi G.J., Swamy P.A.V.B., The Out-of-Sample Forecasting Performance of Exchange Rate Models When Coefficients Are Allowed to Change, "Journal of International Money and Finance", No. 8, 1989.
  22. Snowdon B., Vane H., Wynarczyk P., Współczesne nurty teorii ekonomii, Wydawnictwo Naukowe PWN, Warszawa 1998.
  23. Visser, A Guide to International Monetary Economics, Exchange Rate Theories, Systems and Policies, Edward Elgar Publishing, 2004.
  24. Woo W.T., The Monetary Approach to Exchange Rate Determination under Rational Expectations, "Journal of International Economics", No. 18, 1985.
Cytowane przez
Pokaż
ISSN
1429-3730
Język
pol
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