| dc.contributor.author | Wdowiński, Piotr | |
| dc.date.accessioned | 2016-04-28T07:09:20Z | |
| dc.date.available | 2016-04-28T07:09:20Z | |
| dc.date.issued | 2005 | |
| dc.identifier.issn | 0208-6018 | |
| dc.identifier.uri | http://hdl.handle.net/11089/17897 | |
| dc.description | Badania zostały przeprowadzone w ramach projektu KBN Nr 2H02B01624. | pl_PL |
| dc.description.abstract | In 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.abstract | W 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.sponsorship | Zadanie 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.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 | teoria monetarna | pl_PL |
| dc.subject | prognozowanie | pl_PL |
| dc.subject | łączenie prognoz | pl_PL |
| dc.title | Empiryczne modele kursów walutowych: ocena trafności prognoz | pl_PL |
| dc.title.alternative | Empirical Exchange Rate Models: An Assessment of Forecasting Accuracy | pl_PL |
| dc.type | Article | pl_PL |
| dc.rights.holder | © Copyright by Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005 | pl_PL |
| dc.page.number | 109-142 | pl_PL |
| dc.contributor.authorAffiliation | Uniwersytet Łódzki, Katedra Ekonometrii | pl_PL |
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