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A nominálárfolyam viselkedése monetáris rezsimváltás után
[The behaviour of the nominal exchange rate after a change of monetary regime]


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  • Benczúr, Péter



Egy racionális várakozásokon alapuló modell igen erős következtetéseket ad a nominálárfolyam monetáris szigorítás utáni viselkedéséről: nagymértékű kezdeti erősödés, amit aztán fokozatos gyengülés követ. Ez a kép erősen ellentmond a tényleges megfigyeléseknek, köztük Magyarország és Lengyelország közelmúltbeli tapasztalatainak, ahol a kezdeti erősödést nem követte szisztematikus gyengülés. A tanulmány azt vizsgálja, hogy menthető-e a racionális várakozások hipotézise, ha bizonytalanságot és tanulást viszünk a modellbe. Az eredmények azt mutatják, hogy egy optimista tanulási forgatókönyv (ami minden periódusban kellemetlen inflációs meglepetéssel jár) vagy egy pesszimista tanulási folyamat (minden periódusban a vártnál jobb inflációs adatok) és a nominálkamat kockázati tartalmának csökkenése képes magyarázni az árfolyam megfigyelt viselkedését.* Journal of Economic Literature (JEL) kód: D83, E4, E5, F31.

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Article provided by Közgazdasági Szemle Alapítvány (Economic Review Foundation) in its journal Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).

Volume (Year): XLIX (2002)
Issue (Month): 10 ()
Pages: 816-837

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Handle: RePEc:ksa:szemle:563

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Postal: Közgazdasági Szemle Alapítvány (Economic Review Foundation) Budapest, Budaörsi út 45., 1112, Hungary

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  1. Svensson, L.E.O., 1998. "Open-Economy Inflation Targeting," Papers, Stockholm - International Economic Studies 638, Stockholm - International Economic Studies.
  2. Lewis, Karen K, 1989. "Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange," American Economic Review, American Economic Association, American Economic Association, vol. 79(4), pages 621-36, September.
  3. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 14(3), pages 319-338, November.
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