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dc.contributor.authorWdowiński, Piotr
dc.date.accessioned2016-04-28T07:09:20Z
dc.date.available2016-04-28T07:09:20Z
dc.date.issued2005
dc.identifier.issn0208-6018
dc.identifier.urihttp://hdl.handle.net/11089/17897
dc.descriptionBadania zostały przeprowadzone w ramach projektu KBN Nr 2H02B01624.pl_PL
dc.description.abstractIn the paper we estimate exchange rate models. The theoretical part of the paper includes the purchasing power parity theory (PPP) and monetary model. We also propose an extended review of literature on modeling nominal and real exchange rates. In the empirical part we estimate quarterly exchange rate models of PLN/USD and PLN/EUR during 1990-2002. We have assessed the PPP model for consumer price (CPI) and producer price (PPI) indices along with the monetary model including interest rates. We have also assessed a predictive power of models within a framework of Fair and Shiller (1990) based on combined forecasts. The research has shown that we cannot confirm theoretical relations between exchange rates and fundamentals in terms of estimated parameters’ size. The monetary models have been found to be superior to PPP models in terms of their forecasting accuracy.pl_PL
dc.description.abstractW prezentowanym tekście podjęliśmy tematykę modelowania kursów walutowych. Część teoretyczna artykułu została poświęcona teorii parytetu siły nabywczej PPP oraz modelowi monetarnemu wraz z przeglądem literatury, wskazującym na genezę modelowania nominalnych i realnych kursów walutowych. W części empirycznej dokonaliśmy oszacowania kwartalnych modeli kursów walutowych PLN/USD i PLN/EUR w okresie 1990-2002. Badaniem objęliśmy teorię parytetu PPP dla dwóch indeksów cen, tj. indeksu cen towarów i usług konsumpcyjnych (CPI) oraz indeksu cen produkcji sprzedanej przemysłu (PPI), oraz modelu monetarnego z uwzględnieniem stóp procentowych. Dokonaliśmy ponadto oceny jakości prognoz generowanych przez obie klasy modeli w oparciu o ideę łączenia prognoz według podejścia Faira-Shillera (1990). Na podstawie przeprowadzonego badania można wnioskować, że w analizowanym okresie nie udało się potwierdzić związków teoretycznych pomiędzy kursem walutowym a zmiennymi o charakterze fundamentalnym w kontekście wartości ocen parametrów. Modele monetarne okazały się lepsze od modeli parytetu siły nabywczej z prognostycznego punktu widzenia.pl_PL
dc.description.sponsorshipZadanie pt. „Digitalizacja i udostępnienie w Cyfrowym Repozytorium Uniwersytetu Łódzkiego kolekcji czasopism naukowych wydawanych przez Uniwersytet Łódzki” nr 885/P-DUN/2014 zostało dofinansowane ze środków MNiSW w ramach działalności upowszechniającej naukę.pl_PL
dc.language.isoplpl_PL
dc.publisherWydawnictwo Uniwersytetu Łódzkiegopl_PL
dc.relation.ispartofseriesActa Universitatis Lodziensis. Folia Oeconomica;193
dc.subjectkurs walutowypl_PL
dc.subjectparytet siły nabywczejpl_PL
dc.subjectteoria monetarnapl_PL
dc.subjectprognozowaniepl_PL
dc.subjectłączenie prognozpl_PL
dc.titleEmpiryczne modele kursów walutowych: ocena trafności prognozpl_PL
dc.title.alternativeEmpirical Exchange Rate Models: An Assessment of Forecasting Accuracypl_PL
dc.typeArticlepl_PL
dc.rights.holder© Copyright by Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005pl_PL
dc.page.number109-142pl_PL
dc.contributor.authorAffiliationUniwersytet Łódzki, Katedra Ekonometriipl_PL
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