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Autor
Kołbyko Patryk (Maria Curie-Sklodowska University, Lublin, Poland)
Tytuł
Application of MS-GARCH Class Models in the Analysis of EUR/PLN Exchange Rate Risk in the Context of Poland's Monetary Integration and the ERM II Mechanism
Zastosowanie modeli klasy MS-GARCH w analizie ryzyka kursowego EUR/PLN w kontekście integracji monetarnej Polski i mechanizmu ERM II
Źródło
Barometr Regionalny, 2025, t. 21, nr 1, s. 7-23, rys., tab., bibliogr. 28 poz.
Słowa kluczowe
Strefa euro, Ryzyko kursowe, Integracja monetarna Europy
Eurozone, Exchange risk, European monetary integration
Uwagi
summ.
Abstrakt
Celem artykułu jest identyfikacja hipotetycznego centralnego kursu EUR/PLN w ramach mechanizmu ERM II oraz ocena ryzyka przekroczenia dopuszczalnego pasma wahań w horyzoncie 2025-2028. W badaniu wykorzystano dzienne dane kursowe z lat 2020-2024 oraz zastosowano nieliniowe modele klasy MS-GARCH (Markov-Switching GARCH) w wariantach homogenicznym i heterogenicznym, estymowane metodą quasi-maksymalnej wiarygodności. Procedura badawcza obejmowała dobór optymalnych parametrów P i Q zgodnie z kryterium informacyjnym AIC, identyfikację okresów charakteryzujących się podwyższonymi reżimami zmienności oraz prognozowanie zmienności kursu przy użyciu modelu MS-GARCH połączonego z symulacjami Monte Carlo dla logarytmicznych stóp zwrotu. Wyniki wskazują optymalny centralny kurs ERM II na poziomie 4,53 PLN, przy czym heterogeniczny model MS-GARCH ujawnia 21 dni podwyższonego ryzyka przekroczenia górnego progu w listopadzie i grudniu 2027 roku. Badanie wnosi empiryczne, a teoretyczne podejście do wyznaczania centralnego kursu ERM II, wypełniając lukę w analizie gospodarek wschodzących pozostających poza strefą euro. (abstrakt oryginalny)

The aim of this article is to identify a hypothetical central EUR/PLN exchange rate within the ERM II framework and to assess the risk of exceeding the permissible fl uctuation band for the 2025-2028 horizon. The study uses daily exchange rate data from 2020-2024 and applies nonlinear models of the MS-GARCH (Markov-Switching GARCH) class in both homogeneous and heterogeneous variants, estimated using the quasi-maximum likelihood method. The research procedure included the selection of optimal P and Q parameters according to the AIC information criterion, the identifi cation of periods characterized by heightened volatility regimes, and the forecasting of exchange rate volatility using the MS-GARCH model combined with Monte Carlo simulations for logarithmic returns. The results indicate an optimal ERM II central rate of PLN 4.53, with the heterogeneous MS-GARCH model revealing 21 days of elevated risk of exceeding the upper threshold in November and December 2027. The study contributes an empirical, atheoretical approach to determining the ERM II central rate, fi lling a gap in the analysis of emerging economies outside the euro area. (original abstract)
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Bibliografia
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Cytowane przez
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ISSN
1644-9398
Język
eng
URI / DOI
http://dx.doi.org/10.56583/br.2953
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