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Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével
[Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]

  • Darvas, Zsolt
  • Schepp, Zoltán


Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidős árfolyamok stacionaritását feltételező hibakorrekciós modellek, amelyeknek korábbi számítások szerint - a világ devizapiaci forgalmának mintegy 75 százalékát kitevő fejlett ipari országokra alkalmazva - kitűnő a mintán kívüli előrejelző erejük, hogyan képesek három keletközép- európai ország devizaárfolyamát előrejelezni. A három vizsgálat alá vont deviza (cseh, magyar, lengyel) esetében az eredmények relációnként nagyon eltérnek, és összességében kedvezőtlenebbek, mint a fejlett ipari országokra kapott eredmények, amit a nem teljesen rugalmas árfolyamrezsim, a rendelkezésre álló adatsor rövidsége, az eurózóna-csatlakozáshoz kapcsolódó bizonytalanságok, a devizakockázati és a határidős kamatprémium létezése, továbbá a Balassa-Samuelson-hatás együttes befolyásaként tudunk értelmezni. Journal of Economic Literature (JEL) kód: E43, F31, F47.

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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): LIV (2007)
Issue (Month): 6 ()
Pages: 501-528

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Handle: RePEc:ksa:szemle:920
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Order Information: Postal: Közgazdasági Szemle Alapítvány (Economic Review Foundation) Budapest, Budaörsi út 45., 1112, Hungary
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