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Determinants of the Hungarian forint/ US dollar exchange rate

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  • Yu HSING

    (Southeastern Louisiana University, Hammond, USA)

Abstract

Applying the EGARCH model and using demand and supply analysis, this paper finds that the HUF/USD exchange rate (units of the Hungarian forint per U.S. dollar) is positively associated with the U.S. Treasury bill rate, U.S. real GDP, the U.S. stock index, the Hungarian inflation rate and the expected exchange rate and negatively influenced by the Hungarian Treasury bill rate, Hungarian real GDP, the Hungarian stock index, and the U.S. inflation rate. The HUF/USD exchange rate has a long-term equilibrium relationship with these time series variables.

Suggested Citation

  • Yu HSING, 2016. "Determinants of the Hungarian forint/ US dollar exchange rate," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 163-170, Spring.
    • Handle: RePEc:agr:journl:v:xxiii:y:2016:i:1(606):p:163-170
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    References listed on IDEAS

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    Cited by:

    1. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    2. Ngo Thai Hung, 2020. "Market integration among foreign exchange rate movements in central and eastern European countries," Society and Economy, Akadémiai Kiadó, Hungary, vol. 42(1), pages 1-20, March.

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