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Fundamentals and technical trading: behaviour of exchange rates in the CEECs

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  • Bask , Mikael

    ()
    (Bank of Finland Research)

  • Fidrmuc , Jarko

    ()
    (Department of Economics, University of Munich, CESifo and Comenius University in Bratislava)

Abstract

We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates. Finally, we estimate the impact of the monetary fundamentals for a panel of Central and Eastern European countries (Czech Republic, Poland, Romania and Slovakia) in the second half of the 1990s as well as the complete model of exchange rate determination for daily data over the more recent free-floating period.

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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 10/2006.

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Length: 24 pages
Date of creation: 12 Jun 2006
Date of revision:
Handle: RePEc:hhs:bofrdp:2006_010

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Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Keywords: foreign exchange market; fundamental analysis; panel cointegration; technical analysis;

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Cited by:
  1. Fidrmuc, Jarko & Horváth, Roman, 2008. "Volatility of exchange rates in selected new EU members: Evidence from daily data," Economic Systems, Elsevier, vol. 32(1), pages 103-118, March.
  2. Jarko Fidrmuc & Roman Horváth, 2006. "Credibility of Exchange Rate Policies in Selected EU New Members: Evidence from High Frequency Data," Working Papers IES 2006/28, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2006.
  3. Lubos Komarek & Ivana Kubicová, 2011. "The Classification and Identification of Asset Price Bubbles," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 34-48, January.

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