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Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségével

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Author Info

  • Zsolt Darvas

    ()
    (Corvinus University of Budapest)

  • Zoltán Schepp

    ()
    (Department of Economics and Regional Studies, University of Pécs)

Abstract

Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidõs árfolyamok stacionaritását feltételezõ hibakorrekciós modellek, amelyek korábbi számítások szerint a világ devizapiaci forgalmának mintegy 75%-át kitevõ fejlett ipari országokra alkalmazva kitûnõ mintán kívüli elõrejelzõ erõvel rendelkeztek, hogyan képesek három kelet-közép európai ország (cseh, magyar, lengyel) devizaárfolyamát elõrejelezni. A három vizsgálat alá vont deviza esetében az eredmények relációnként nagyon eltérõek, és összességében kedvezõtlenebbek, mint a fejlett ipari országokra kapott eredmények, amit rendelkezésre álló adatsor rövidsége, az euró-zóna csatlakozáshoz kapcsolódó bizonytalanságok, a devizakockázati és a határidõs kamatprémium létezése, továbbá a Balassa-Samuelson-hatás együttes befolyásaként tudunk értelmezni.

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File URL: http://krti-en.ktk.pte.hu/pec/pdf/200703.pdf
File Function: Revised version, 2007
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Bibliographic Info

Paper provided by University of Pécs, Department of Economics and Regional Studies in its series Working Papers with number 2007/3.

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Length: 38 pages
Date of creation: Oct 2007
Date of revision: Oct 2007
Handle: RePEc:pec:wpaper:2007/3

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Web page: http://www.krti-en.ktk.pte.hu/
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Related research

Keywords: Exchange rate forecasting; FOREX markets; forward-puzzle;

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References

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  2. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2002. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," CEPR Discussion Papers 3281, C.E.P.R. Discussion Papers.
  3. Schepp, Zoltán, 2003. "Befektetői horizont és a „forwardrejtély”
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Cited by:
  1. Ábel, István & Kóbor, Ádám, 2010. "A monetáris restrikció hatása strukturális VAR keretben
    [The effect of monetary restriction in a vector auto-regression framework]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 412-430.
  2. Ábel, István & Kóbor, Ádám, 2008. "Kamatkülönbözet, spekulációs profit és árfolyam-változékonyság
    [Interest-rate differentials, speculative capital flows and exchange-rate volatility]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 941-961.

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