- Autor
- Kluza Stanisław, Sławiński Andrzej
- Tytuł
- The Foreign Exchange and the Market Microstructure of the Polish Zloty
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 1, s. 15-25, rys., tab., bibliogr. s. 24-25
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Wymienialność złotego, Złoty polski, Modelowanie ekonometryczne
Convertibility of the zloty, Polish Zloty, Econometric modeling - Abstrakt
- Chapter 1 presents the foreign exchange and the market microstructure of the Polish zloty. The assumption of the analysis is that exchange rate displayed high volatility largely not connected with fundamentals. It is argued that the weakness of macroeconomic models has its origin in the complexity and microstructure of the foreign exchange market in the short-run. It has been found that the microstructure properties for PLN/EUR exchange rate are significant and can compete with findings based on fundamentals. The analysis also extends the framework to evaluate factors that can disturb the estimation of foreign exchange microstructure for Poland. (fragment of text).
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Allen H., Taylor M. (1990), "Chart, Noise and Fundamentals in the London, Foreign Exchange Market", Economic Journal, 100.
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- Friedman M. (1953), Essays in Positive Economics, Chicago: University of Chicago Press.
- De Grauwe P. (2000), "Exchange Rate in Search of Fundamentals: The Case of the Euro-Dollar Rate", CEPR Discussion Paper, 2575.
- De Grauwe P., Dewachter H., Embrechts M. (1993), Exchange Rate Theories. Chaotic Models of the Foreign Exchange Markets, London: Blackwell.
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- Kouri P. (1976), 'The Exchange Rate and the Balance of Payments in the Short Run and the Long Run", Scandinavian Journal of Economics.
- Obstfeld M., RogofT K. (2000), "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause", NBER Working Paper, 7777, July.
- Taylor S. (1988), Modeling Financial Time Series, New York: Wiley & Sons.
- Zając J. (2002), Polski rynek walutowy w praktyce, (Polish Foreign Exchange Market in Practice), Warszawa: Liber.
- Cytowane przez
- Język
- eng
