| dc.contributor.author | Bruzda, Joanna | |
| dc.contributor.author | Koźliński, Tomasz | |
| dc.date.accessioned | 2016-05-05T12:05:18Z | |
| dc.date.available | 2016-05-05T12:05:18Z | |
| dc.date.issued | 2005 | |
| dc.identifier.issn | 0208-6018 | |
| dc.identifier.uri | http://hdl.handle.net/11089/17946 | |
| dc.description | The author acknowledges the support of the Polish Foundation
for Science under the scholarship for young scientists in 2004. | pl_PL |
| dc.description.abstract | In the paper we verify the purchasing power parity (PPP) hypothesis for the
exchange rate JPY/USD for different time periods and price indexes. We build several forecasting
models for this exchange rate including some non-linear specifications, for example the univariate
BL-GARCH model and fundamental VEC models based on a long run equilibrium relationship.
We have found that under some specific conditions the PPP hypothesis does hold. An adjustment
process towards a long run equilibrium turned out to be of a non-linear nature. However,
the impact of this adjustment on short-run dynamics of the exchange rate has a linear error
correction form. | pl_PL |
| dc.description.abstract | W artykule przedstawiamy wyniki weryfikacji hipotezy parytetu sity nabywczej pieniądza
dla kursu walutowego JPY/USD dla różnych okresów i różnych indeksów cenowych. Prezentujemy
kilka modeli prognostycznych dla tego kursu, włączając pewne specyfikacje nieliniowe,
jak np. jednowymiarowy model BL-GARCH oraz fundamentalne modele VEC, oparte na
zależności w długookresowym położeniu równowagi. Wyniki empiryczne wskazują, że przy
pewnych specyficznych warunkach hipoteza PPP zachodzi. Proces dostosowania do długookresowego
położenia równowagi okazuje się mieć postać nieliniową. Jednakże wpływ tego
dostosowania na krótkookresową dynamikę kursu walutowego JPY/USD ma formę liniowej
korekty błędem. | 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 | en | pl_PL |
| dc.publisher | Wydawnictwo Uniwersytetu Łódzkiego | pl_PL |
| dc.relation.ispartofseries | Acta Universitatis Lodziensis. Folia Oeconomica;192 | |
| dc.subject | purchasing power parity | pl_PL |
| dc.subject | forecasting exchange rates | pl_PL |
| dc.subject | non-linear adjustment | pl_PL |
| dc.subject | non-linear error correction models | pl_PL |
| dc.title | Non-linearity and the Purchasing Power Parity Hypothesis for Exchange Rate JPY/USD | pl_PL |
| dc.title.alternative | Nieliniowość i hipoteza parytetu siły nabywczej pieniądza dla kursu walutowego JPY/USD | pl_PL |
| dc.type | Article | pl_PL |
| dc.rights.holder | © Copyright by Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005 | pl_PL |
| dc.page.number | 177-193 | pl_PL |
| dc.contributor.authorAffiliation | Nicolaus Copernicus University in Toruń | pl_PL |
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