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Autor
Roszkowski Piotr (Warsaw School of Economics, Poland), Sławińska Kamila (Collegium of Economic Analyses; Warsaw School of Economics Economic Institute; National Bank of Poland), Torój Andrzej (Warsaw School of Economics, Poland)
Tytuł
BEER tastes better in a panel of neighbours. On equilibrium exchange rates in CEE countries
Źródło
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2014, nr 34, s. 209-226, rys., tab., bibliogr. 27 poz.
Tytuł własny numeru
Modelowanie danych panelowych : teoria i praktyka : III Ogólnopolska Konferencja
Słowa kluczowe
, Kurs walutowy, Finanse behawioralne, Ekonometria
, Exchange rates, Behavioural finance, Econometrics
Uwagi
summ.
Abstrakt
We follow the behavioural equilibrium exchange rate (BEER) approach to estimate the misalignments of real exchange rates in selected Central European countries, including Poland, in a sample that covers both pre- and post-crisis period. We add to the existing literature by applying a panel approach with FM-OLS estimator of the cointegrating relationship that represents the BEER equation. In our quarterly sample, comprising the years 2000-2013 for Poland, Hungary, Czech Republic and Romania, the parameters of real interest rate disparity, risk premium, Harrod-Balassa-Samuelson effect and terms of trade take the expected sign. These estimates seem to be more precise and robust to post-crisis instability than those obtained on the basis of time series approach, at least for Poland.(original abstract)
Dostępne w
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Bibliografia
Pokaż
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  3. Baltagi B.H., Econometric Analysis of Panel Data, John Wiley & Sons, New York 2005.
  4. Bénassy-Quéré A., Béreau S., Mignon V., How Robust are Estimated Equilibrium Exchange Rates? A Panel BEER Approach, CEPII Working Paper 2008-01, CEPII, March 2008.
  5. Bénassy-Quéré A., Duran-Vigneron P., Lahrèche-Revil A., Mignon V., Burden Sharing and Exchange-Rate Misalignments within the Group of Twenty, Working Papers 2004-13, CEPII Research Center, 2004.
  6. Bénassy-Quéré A., Lahrèche-Révil A., Mignon V., Is Asia Responsible For Exchange Rate Misalignments Within The G20?, "Pacific Economic Review" 2008, vol. 13(1), pp. 46-61.
  7. Bénassy-Quéré A., Lahrèche-Révil A., Mignon V., World Consistent Equilibrium Exchange Rates, Working Papers 2006-20, CEPII Research Center, 2006.
  8. Bęza-Bojanowska J., MacDonald R., The Behavioural Zloty/Euro Equilibrium Exchange Rate, National Bank of Poland Working Papers 55, National Bank of Poland, Economic Institute, 2009.
  9. Clark P., MacDonald R., Exchange rates and economic fundamentals: a methodological comparison of BEERs and FEERs, in: Equilibrium Exchange Rates, eds R. MacDonald, J. Stein, Kluwer, Amsterdam 1999, pp. 285-322.
  10. Egert B., Halpern L., MacDonald R., Equilibrium exchange rates in transition economies: taking stock of the issue, "Journal of Economic Surveys" 2005, vol. 20(2), pp. 257-324.
  11. Frait J., Komárek L., Melecky M., The real exchange rate misalignment in the five central European countries, Working Paper, University of Warwick, Department of Economics, Coventry 2006.
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  13. Kao C., Chiang M., On the Estimation and Inference of a Cointegrated Regression in Panel Data, in: Nonstationary Panels, Panel Cointegration and Dynamic Panels, eds B.H. Baltagi et al., Elsevier, Amsterdam 2000, pp. 179-222.
  14. Kelm R., Model behawioralnego kursu równowagi złotego do euro w okresie styczeń 1996-czerwiec 2009 r., "Bank i Kredyt" 2010, vol. 41(2), pp. 21-41.
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  17. Lerner A.P., Factor prices and international trade, "Economica" 1952, vol. 19, pp. 11-40.
  18. Lerner A.P., The diagrammatical representation of cost condition in international trade, "Economica" 1934, vol. 1, pp. 319-334.
  19. Maddala G.S., On the Use of Panel Data Methods with Cross-Country Data, "Annales d'économie et de statistique" 1999, no. 55-56.
  20. Maddala G.S., Wu S., Liu P.C., Do panel data rescue the purchasing power parity(PPP) theory?, in: Panel Data Econometrics: Future Directions, eds J. Krishnakumar, E. Ronchetti, North-Holland, Amsterdam 2000, pp. 35-51.
  21. Maeso-Fernandez F., Osbat C., Schnatz B., Towards the estimation of equilibrium exchange rates for CEE acceding countries: methodological issues and a panel cointegration perspective, European Central Bank Working Papers, vol. 353, 2004.
  22. Pedroni P., Critical values for cointegration tests in heterogeneous panels with multiple regressors, "Oxford Bulletin of Economics and Statistics" 1999, vol. 61 (S1), pp. 653-670.
  23. Pedroni P., Fully Modified OLS for Heterogeneous Cointegrated Panels, in: Nonstationary Panels, Panel Cointegration and Dynamic Panels, ed. B.H. Baltagi, Elsevier, Amsterdam 2000, pp. 93-130.
  24. Pedroni P., Panel cointegration. Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis, "Econometric Theory" 2004, vol. 20, pp. 597-625.
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  26. Rubaszek M., Economic convergence and the fundamental equilibrium exchange rate in Poland, "Bank i Kredyt" 2009, vol. 40(1), pp. 7-22.
  27. Welfe A., Ekonometria. Metody i ich zastosowanie, PWE, Warszawa 2009.
Cytowane przez
Pokaż
ISSN
1232-4671
Język
eng
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