BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Wdowiński Piotr (University of Lodz, Poland), Zglińska-Pietrzak Aneta (University of Lodz, Poland)
Tytuł
Modeling and Forecasting Exchange Rates: A Monetary Approach
Źródło
FindEcon Monograph Series : advances in financial market analysis, 2006, nr 1, s. 155-172, rys., tab., bibliogr. s. 169-172
Tytuł własny numeru
Financial markets : principles of modeling forecasting and decision-making
Słowa kluczowe
Dolar amerykański (USD), Złoty polski, Kurs walutowy, Teoria kursu walutowego
United States dollar (USD), Polish Zloty, Exchange rates, Exchange rate theory
Abstrakt
Chapter 11 examines a flexible price monetary model of the PLN/EUR zloty exchange rate within a cointegration and error correction framework. It has been found that the exchange rate cointegrates with macroeconomic fundamentals and that the error correction model is superior to the simple short-run dynamic model in forecasting exercises. As a general rule, the structural approach can hardly outperform a simple autoregression model of exchange rate. (fragment of text)
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Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
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Bibliografia
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