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Autor
Wdowiński Piotr (Uniwersytet Łódzki; Urząd Komisji Nadzoru Finansowego)
Tytuł
Model monetarny kursu równowagi złoty/euro : analiza kointegracyjna
The Monetary Model of the Zloty-Euro Equilibrium Exchange Rate : Cointegration Analysis
Źródło
Gospodarka Narodowa, 2011, nr 3, s. 67-86, wykr., tabl., bibliogr. 54 poz.
The National Economy
Słowa kluczowe
Kształtowanie kursu walutowego, Pieniądz, Model korekty błędem, Kointegracja
Exchange rate developments, Money, ECM model (Error-Correction Model), Cointegration
Uwagi
summ.;
Abstrakt
The author carries out a cointegration analysis for the nominal exchange rate of the zloty against the euro according to a monetary theory developed by U.S. economist Jeffrey A. Frankel (1979). Wdowiński estimates a cointegration vector for the period 1999M7-2008M9. Long-term estimates show that the euro exchange rate depends on changes in industrial production and on short- and long-term interest rates, the author says. The influence of M1 money supply proves to be statistically insignificant. The departure of the euro rate from a state of monetary equilibrium was corrected slowly, the author says, because the half-life of the divergence was almost two years. The solution of the model showed that the euro exchange rate diverged significantly from a state of equilibrium determined by fundamental factors in the 1999M7-2004M1 period, while showing smaller deviations in the 2004M2-2008M9 period. Overall, the author observed periods when the zloty was both overvalued and undervalued against the euro due to a long-term equilibrium rate. The deviations stabilized noticeably from May 2003. In the 2003M5-2006M3 period, the zloty was overvalued by 9.6% on average, while in the 2006M4-2008M9 period it was undervalued by 9.3%. In the short term, the zloty tended to appreciate as a result of increases in short-term interest rates. According to the author, fundamental economic factors in Poland and the euro area point to the existence of a trend whereby the zloty is gaining ground against the euro, while short-term changes in this rate may be significant due to a growing macroeconomic risk.
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
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Bibliografia
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Cytowane przez
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ISSN
0867-0005
Język
pol
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