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Kamatkülönbözet, spekulációs profit és árfolyam-változékonyság
[Interest-rate differentials, speculative capital flows and exchange-rate volatility]

Author

Listed:
  • Ábel, István
  • Kóbor, Ádám

Abstract

A forint kamata magasabb, mint az euró vagy számos régióbeli valuta kamata. A monetáris politika, amely számos tényező figyelembevételével alakítja a forintkamatot, közvetlen hatással van a rövid lejáratú kamatkülönbözet alakulására. Ebben az írásban azt vizsgáljuk, hogyan hat a kamatkülönbözet az árfolyamra és annak változékonyságára. A kamatkülönbözet az árfolyam szintjét rövid és hosszú távon eltérő irányban befolyásolja, azonban a nagyobb kamatkülönbözet az árfolyam megnövekedett változékonyságával jár együtt, függetlenül a vizsgált időtávtól. Az írás a nagy kamatkülönbözet, a spekulációs tőkeáramlás, valamint a forint-euró árfolyam erőteljes változékonysága háromszög egy-egy sarkát rögzítve, a másik két tényező jellegzetes összefüggését mutatja be. Ezen keresztül a monetáris politikának a pénzpiacok stabilizációjára gyakorolt és napjainkban egyre fontosabbá váló szerepére hívja fel a figyelmet. Journal of Economic Literature (JEL) kód: F31, G14.

Suggested Citation

  • 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.
  • Handle: RePEc:ksa:szemle:1054
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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