BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Wdowiński Piotr
Tytuł
Modelowanie i prognozowanie kursu walutowego złoty/euro
Modelling and Forecasting Zloty/Euro Exchange Rate
Źródło
Prace i Materiały Wydziału Zarządzania Uniwersytetu Gdańskiego, 2007, nr 5, s. 183-212, tab., rys., bibliogr. 62 poz.
Słowa kluczowe
Kurs walutowy, Monetaryzm, Modelowanie ekonometryczne
Exchange rates, Monetarist, Econometric modeling
Uwagi
summ.
Abstrakt
Przedstawiono empiryczną weryfikację modelu monetarnego kursu złoty/euro dla danych kwartalnych w okresie 1995-2006. Kurs ten stanowi jedną z najważniejszych zmiennych makroekonomicznych. Do estymacji modelu zastosowano metodę kointegracji Johansena. Przeprowadzono analizę błędów prognoz ex post i zaproponowano prognozy łączne.

In this paper we presented an empirical analysis of monetary model of zloty/euro exchange rate based on quarterly data during 1995-2006. The models were estimated with the Johansen co-integration methodology. We calculated forecasts, assessed their accuracy and proposed combined predictors. We concluded that the monetary model may serve as an accurate forecasting tool if the homogeneity assumption of money supply effects on exchange rate is relaxed. The combined forecasts with optimal weighting schemes of individual forecasts are superior to the latter. The quality of weighted average combined forecasts is higher that those of simple average. (original abstract)
Dostępne w
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
Bibliografia
Pokaż
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Cytowane przez
Pokaż
ISSN
1732-1565
Język
pol
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