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Posta Vít (University of Economics, Prague; Ministry of Finance)
The Misalignment of the Real Exchange Rate with the Fundamentals: Evidence from the Czech Republic, Hungary and Poland
Ekonomia / Uniwersytet Warszawski, 2011, nr 26, s. 29-44, tab., rys., bibliogr s. 42-43.
Słowa kluczowe
Kurs walutowy, Analiza giełdowa, Porównania międzynarodowe
Exchange rates, Stock exchange analysis, International comparisons
The paper examines the behavior of the real exchange rates in the Czech Republic, Hungary and Poland, analyzing its driving forces with the emphasis on the turbulences which have been lately seen in the economies. Real equilibrium exchange rates are estimated using the BEER methodology to serve as a benchmark to which the real exchange rates are compared. The gap between the estimated real equilibrium exchange rates and real exchange rates as well as the key determinants of the real equilibrium exchange rates are analyzed and compared in the three cases. While the Czech Republic and Poland have been relatively mildly hit by the current crisis which has been accompanied by a relatively acceptable misalignment of the real exchange rate with the fundamentals, clear long-run divergence of Hungarian real exchange rate from the market fundamentals has been detected in the analysis. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
  1. Belloc, M., Federici, D. [2007]: A Two-Country NATREX Model for the Euro/Dollar, MPRA Paper no. 4046
  2. Bjorland, H.C., Hungnes, H. [2006]: The Importance of Interest Rates for Forecasting the Exchange Rate, Journal of Forecasting 25, 2006, pp. 209-221.
  3. Clark, P.B., MacDonald, R. [2000]: Filtering the BEER: A Permanent and Transitory Decomposition, IMF Working Paper WP/00/144, 2000.
  4. Detken, C., Martinez, C.M. [2001]: The Effective Euro Equilibrium Exchange Rate Since the 70's: A Structural NATREX Estimation, ECB WP.
  5. Dornbusch, R. [1989]: Real Exchange Rates and Macroeconomics: A Selective Survey, Scandinavian Journal of Economics 2, 1989, pp. 401-432.
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  7. Egert, B., Halpern, L. [2005]: Equilibrium Exchange Rates in Central and Eastern Europe: A Meta-Regression Analysis, BOFIT Discussion Paper No. 4/2005.
  8. Hwang, J.K. [2001]: Dynamic Forecasting of Monetary Exchange Rate Models: Evidence from Cointegration, International Advances in Economic Research 1, 2001, pp. 51-64.
  9. Lutkepohl, H. [2007]: New Introduction to Multiple Time Series Analysis, Springer.
  10. MacDonald, R.R. [1997]: What Determines Real Exchange Rates? The Long and Short of It, IMF Working Paper WP/97/21.
  11. Maeso-Fernandez, F., Osbat, C., Schnatz, B. [2001]: Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach, ECB Working Paper no. 85, 2001.
  12. Rogoff, K. [1996]: The Purchasing Power Parity Puzzle, Journal of Economic Literature 2, 1996, pp. 647-668.
  13. Sarno, L., Taylor, M.P. [2002]: The Economics of Exchange Rates, Cambridge University Press.
  14. Stein, J.L. [2001]: The Equilibrium Value of the Euro/US Exchange Rate: an Evaluation of Research, CESifo Working Paper no. 525.
  15. Smidkova, K. [1998]: Estimating the FEER for the Czech Economy, CNB WP 87.
  16. Taylor, A.M., Taylor, M.P. [2004]: The Purchasing Power Parity Debate, Journal of Economic Perspectives 4, 2004, pp. 135-158.
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