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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)
BEER tastes better in a panel of neighbours. On equilibrium exchange rates in CEE countries
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
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
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  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.
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