| dc.contributor.author | Wdowiński, Piotr | |
| dc.date.accessioned | 2016-04-27T12:25:35Z | |
| dc.date.available | 2016-04-27T12:25:35Z | |
| dc.date.issued | 2005 | |
| dc.identifier.issn | 0208-6018 | |
| dc.identifier.uri | http://hdl.handle.net/11089/17892 | |
| dc.description.abstract | In the paper we estimate the quarterly exchange rate model which combines theories of
purchasing power parity PPP and uncovered interest rate parity UIP. We use bilateral
exchange rates of PLN/USD and PLN/EUR during 1995-2002. The model brings a modified
and augmented capital approach to modeling exchange rates (CHEER) introduced by Juselius
(1991) and Johansen and Juselius (1992). In the research we have found that the nominal
exchange rates appreciate against unit labor costs and real labor productivity. | pl_PL |
| dc.description.abstract | W artykule podjęliśmy próbę empirycznej weryfikacji modelu kursu walutowego
stanowiącego połączenie teorii parytetu siły nabywczej PPP i parytetu stóp procentowych
UIP. Badaniem objęliśmy kursy dwustronne PLN/USD i PLN/EUR w okresie
1995-2002 dla danych kwartalnych. Model stanowi zmodyfikowaną i rozszerzoną wersję
podejścia kapitałowego do modelowania kursów walutowych (CHEER), zapoczątkowanego
w pracach takich ekonomistów, jak: Juselius (1991) oraz Johansen i Juselius (1992).
Z przeprowadzonych badań wynika wniosek o niepełnej indeksacji analizowanych nominalnych
kursów walutowych względem jednostkowych kosztów pracy oraz realnej wydajności
pracy. | pl_PL |
| dc.description.sponsorship | Badania zostały przeprowadzone w ramach projektu KBN Nr 2H02B01624. | pl_PL |
| dc.language.iso | pl | pl_PL |
| dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | pl_PL |
| dc.relation.ispartofseries | Acta Universitatis Lodziensis. Folia Oeconomica;193 | |
| dc.subject | kurs walutowy | pl_PL |
| dc.subject | parytet siły nabywczej | pl_PL |
| dc.subject | parytet stóp procentowych | pl_PL |
| dc.subject | jednostkowy koszt pracy | pl_PL |
| dc.subject | wydajność pracy | pl_PL |
| dc.title | Teorie parytetu siły nabywczej PPP i parytetu stóp procentowych UIP w modelu kursu walutowego | pl_PL |
| dc.title.alternative | Theories of Purchasing Power Parity PPP and Uncovered Interest Parity UIP in the Exchange Rate Model | pl_PL |
| dc.type | Article | pl_PL |
| dc.rights.holder | © Copyright by Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005 | pl_PL |
| dc.page.number | 143-158 | pl_PL |
| dc.contributor.authorAffiliation | Uniwersytet Łódzki, Katedra Ekonometrii | pl_PL |
| dc.references | Alberola E., Garcia-Cervero S., Lopez H., Ubide A. (2002), Quo vadis Euro?, „The European Journal of Finance”, 8, 352-370. | pl_PL |
| dc.references | Apergis N. (2003), Testing Purchasing Power Parity: Results from a New Foreign Exchange Market, „Applied Economics Letters”, 10, 91-95. | pl_PL |
| dc.references | Balassa B. (1964), The Purchasing Power Parity Doctrine: A Reappraisal, „Journal of Political Economy”, 72, The University of Chicago, 584-596. | pl_PL |
| dc.references | Beachill B., Pugh G. (1998), Monetary Cooperation in Europe and the Problem of Differential Productivity Growth: An Argument for a 'Two-speed' Europe, „International Review of Applied Economics”, 12(3). | pl_PL |
| dc.references | Benigno G., Thoenissen C. (2003), Equilibrium Exchange Rates and Supply-Side Performance, „The Economic Journal”, 113, C103-C124. | pl_PL |
| dc.references | Bhandari J. S. (1983), An Alternative Theory of Exchange Rate Dynamics, „The Quarterly Journal of Economics” , May. | pl_PL |
| dc.references | Breuer J. (1994), Purchasing Power Parity: A Survey of and Challenge to Recent Literature, [w:] Williamson J. (ed.), Fundamental Equilibrium Exchange Rates, Institute for International Economics, Washington DC. | pl_PL |
| dc.references | Brook A.-M., Hargreaves D. (2001), PPP-based Analysis of New Zealand's Equilibrium Exchange Rate, Reserve Bank of New Zealand, „Discussion Paper Series”, 1. | pl_PL |
| dc.references | Cassel G. (1918), Abnormal Deviations in International Exchanges, „Economic Journal”, September. | pl_PL |
| dc.references | Chmielewski T. (2003), Od kursu płynnego do unii monetarnej. Znaczenie efektu Balassy-Samuelsona dla polskiej polityki pieniężnej, „Materiały i Studia”, 163, NBP. | pl_PL |
| dc.references | Coakley J., Fuertes A.-M. (2001), Nonparametric Cointegration Analysis of Real Exchange Rates, „Applied Financial Economics”, 11, 1-8. | pl_PL |
| dc.references | Costa-I-Fonl J., Tremosa-I Balcells R. (2003), Spanish Regions and the Macroeconomic Benefits of the European Monetary Union, „Regional Studies”, 37.3, 217-226. | pl_PL |
| dc.references | Culver S. E., Papell D. H. (1999), Long-run Purchasing Power Parity with Short-run Data: Evidence with a Null Hypothesis of Stationarity, „Journal of International Money and Finance”, 18, 751-768. | pl_PL |
| dc.references | De Broeck M., Slok T. (2001), Interpreting Real Exchange Rate Movements in Transition Countries, „IMF Working Paper”, 56. | pl_PL |
| dc.references | Devereux M. B. (2003), A Tale of Two Currencies: The Asian Crisis and the Exchange Rate Regimes of Hong Kong and Singapore, „Review of International Economics”, 11(1), 38-54. | pl_PL |
| dc.references | Diamandis P. F., Kouretas G. P. (1996), The Monetary Approach to the Exchange Rale: Long-run Relationships, Coefficient Restrictions and Temporal Stability of the Greek Drachma, „Applied Financial Economics”, 6, 351-362. | pl_PL |
| dc.references | Dornbusch R. (1987), Exchange Rates and Prices, „American Economic Review”, 77 (1), 93-106. | pl_PL |
| dc.references | Doroodian K , Jung C., Boyd R. (1999), Testing the Law of One Price under the Fixed and Flexible Exchange Rate Systems, „Applied Economic Letters”, 6, 613-616. | pl_PL |
| dc.references | Drine L, Rault C. (2003), Do Panel Data Permit the Rescue of the Balassa-Samuelson Hypothesis for Latin American Countries?, „Applied Economics”, 35, 351-359. | pl_PL |
| dc.references | Froot K. A., Rogoff К. (1994), Perspectives on PPP and Long-run Real Exchange Rates, „NBER Working Paper”, December, 4952, Cambridge. | pl_PL |
| dc.references | Giovanetti G. (1992), A Survey of Recent Empirical Tests of the Purchasing Power Parity Hypothesis, „Banca Nazionale del Lavoro Quarterly Review”, 180, 81-101. | pl_PL |
| dc.references | Groen J. J. J. (2002), Cointegration and the Monetary Exchange Rate Model Revisited, „Oxford Bulletin of Economics and Statistics”, 64(4), 361-380. | pl_PL |
| dc.references | Halpern L., Wypłosz C. (2001), Economic Transformation and Real Exchange Rates in the 2000s: The Balassa-SamueLson Connection, „Economic Survey of Europe”, UNECE, 227-239. | pl_PL |
| dc.references | Hwang J. К (2003), Dynamic Forecasting of Sticky-Price Monetary Exchange Rate Model, „Atlantic Economic Journal", 31(1), 103-114. | pl_PL |
| dc.references | Isard P. (1995), Exchange Rate Economics, Cambridge University Press, Cambridge. | pl_PL |
| dc.references | Johansen S., Juselius K. (1992), Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for the UK, „Journal of Econometrics”, 53, 211-244. | pl_PL |
| dc.references | Juselius K.. (1991), Long-run Relations in a Well Defined Statistical Model for the Data Generating Process: Cointegration Analysis of the PPP and UIP Relations between Denmark and Germany, [w:] Gruber J. (ed.), Econometric Decision Models: New Methods of Modeling and Applications, Springer Verlag, New York. | pl_PL |
| dc.references | Kakkar V. (2003), The Relative Price of Nontraded Goods and Sectoral Total Factor Productivity: An Empirical Investigation, „The Review of Economics and Statistics”, 85(2), 444-452. | pl_PL |
| dc.references | Karfakis C. J. (1991), A Model of Exchange Rate Policy: Evidence for the US Dollar-Greek Drachma Rate 1975-87, „Applied Economics”, 23, 815-820. | pl_PL |
| dc.references | Keim R. (2001), Ekonometryczny model kursu złotego w latach 1992-1998, „Ekonomista”, 2, 201-226. | pl_PL |
| dc.references | Keim R. (2004), Empiryczny model polityki kursowej w Polsce w latach 1995-2002, [w:] Milo W., Wdowiński P. (red.), Rynki finansowe. Prognozy a decyzje, „Acta Universitatis Lodziensis”, Folia Oeconomica, 177, 153-167. | pl_PL |
| dc.references | Kovács M. A. (ed.) (2002), On the Estimated Size of the Balassa-Samuelson Effect in Five Central and Eastern European Countries, National Bank of Hungary, 5, Working Paper. | pl_PL |
| dc.references | Kozamemik D. (2004), The ERM II Issues: An Interpretation of the Slovenian Approach, „Atlantic Economic Journal”, 32(4), 268-279. | pl_PL |
| dc.references | MacDonald R. (2000), Concepts to Calculate Equilibrium Exchange Rates: An Overview, „Discussion Paper” , 3, Economic Research Group of the Deutsche Bundesbank. | pl_PL |
| dc.references | MacDonald R., Nagayasu J. (2000), The Long-run Relationship between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study, „IMF Staff Papers”, 47 (1). | pl_PL |
| dc.references | MacDonald R., Taylor M. P. (1994), Reexamining the Monetary Approach to the Exchange Rate: The Dollar-franc, 1976-90, „Applied Financial Economics”, 4, 423-429. | pl_PL |
| dc.references | Mihaljek D., Klau M. (2003), The Balassa-Samuelson Effect in Central Europe: A Disaggregated Analysis, „BIS Working Papers”, 143. | pl_PL |
| dc.references | Milo W., Rutkowska M. (2005), Notes on Forecasting Nominal Equilibrium Exchange Rates of PLN against USD, [w:] Milo W., Wdowiński P. (red.), Issues in Modeling, Forecasting and Decision-Making in Financial Markets, „Acta Universitatis Lodziensis”, Folia Oeconomica, 192. | pl_PL |
| dc.references | Milo W., Wrzesiński D. (2004), Analiza realnego kursu walutowego, [w:] Milo W., Wdowiński P. (red.), Rynki finansowe. Prognozy a decyzje, „Acta Universitatis Lodziensis”, Folia Oeconomica, 177, 109-121. | pl_PL |
| dc.references | Obstfeld M. (1995), International Currency Experience. New Lessons and Lessons Relearned, „Brookings Papers on Economic Activity”, 1. | pl_PL |
| dc.references | Officer L. R. (1976), The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article, „IMF Staff Papers”, 23(1), 1-60. | pl_PL |
| dc.references | Padoa-Schioppa T. (2003), Trajectories Towards the Euro and the Role of ERM II, „International Finance”, 6(1), 129-144. | pl_PL |
| dc.references | Papadopoulos A. P., Zis G. (2000), A Monetary Analysis of the Drachma/ECU Exchange Rate Determination, 1980-1991, „Empirical Economics”, 25, 653-663. | pl_PL |
| dc.references | Paya I., Duarte A., Holden K. (2003), On the Equilibrium Value of the Peseta, „Applied Financial Economics”, 13, 317-335. | pl_PL |
| dc.references | Pentecost E. J. (1993), Exchange Rate Dynamics, Edward Elgar Publishing, Adershot. | pl_PL |
| dc.references | Przystupa J. (2003), Szacunki realnego kursu równowagi długookresowej dla Polski, „Bank i Kredyt”, listopad-grudzień, 4-14. | pl_PL |
| dc.references | Rogoff К. (1996), The Purchasing Power Parity Puzzle, „Journal of Economic Literature”, June, 34, 647-668. | pl_PL |
| dc.references | Rubaszek M. (2004), Modelowanie optymalnego poziomu realnego efektywnego kursu złotego: zastosowanie koncepcji fundamentalnego kursu równowagi, „Materiały i Studia”, 175, NBP. | pl_PL |
| dc.references | Samuelson P. A. (1964), Theoretical Notes on Trade Problems, „Review of Economics and Statistics”, 46, 335-346. | pl_PL |
| dc.references | Sartore D., Trevisan L., Trova M., Volo F. (2002), US Dollar/Euro Exchange Rate: A Monthly Econometric Model for Forecasting, „The European Journal of Finance”, 8, 480-501. | pl_PL |
| dc.references | Shively P. A. (2001), A Test of Long-run Purchasing Power Parity, „Economics Letters”, 73, 201-205. | pl_PL |
| dc.references | Strzała К. (2002), Weryfikacja hipotez makroekonomicznych - ewolucja podejść na przykładzie PPP, [w:] Kufel T., Piłatowska M. (red.), Analiza szeregów czasowych na początku XXI wieku, Wydawnictwo Uniwersytetu im. Mikołaja Kopernika, Toruń. | pl_PL |
| dc.references | Tawadros G. B. (2001), The Predictive Power of the Monetary Model of Exchange Rate Determination, „Applied Financial Economics”, 11, 279-286. | pl_PL |
| dc.references | Taylor M. P. (1995), The Economics of Exchange Rates, „Journal of Economic Literature”, March, 13-47. | pl_PL |
| dc.references | Unayama T. (2003), Product Variety and Real Exchange Rates: The Balassa-Samuelson Model Reconsidered, „Journal of Economics”, 79 (1), 41-60. | pl_PL |
| dc.references | Wdowiński P. (2003), Ekonometryczne modele kursu równowagi złotego, Materiały IEiS, Projekt KBN, Katedra Ekonometrii, Uniwersytet Łódzki, Łódź. | pl_PL |
| dc.references | Wdowiński P. (2005), Empiryczne modele kursów walutowych: ocena trafności prognoz, [w:] Milo W., Wdowiński P. (red.), Wybrane zagadnienia ilościowych analiz ekonomiczno- -finansowych, „Acta Universitatis Lodziensis", Folia Oeconomica, 193. | pl_PL |
| dc.references | Welfe W. (red.) (1995), Kwartalny model gospodarki Polski. Struktura i własności, „Statystyka i Ekonometria”, 1, Wydział I Nauk Społecznych PAN. | pl_PL |
| dc.references | Welfe W., Welfe A. (2004), Ekonometria stosowana, PWE, Warszawa. | pl_PL |
