Behavioral and Permanent Zloty/Euro Equilibrium
Poland is expected to enter the Exchange Rate Mechanism II (ERM II). The European Central Bank recommends that the ERM II central rate should reflect the best possible assessment of the equilibrium exchange rate. Since the equilibrium rate is changing in time, it is important to identify the pushing and pulling forces of the exchange rate. This knowledge will let the authorities to defend only the exchange rate that is in equilibrium and to assess outcomes of their actions. We use the VEC approach of Johansen to estimate the behavioral equilibrium exchange rate and to identify the pushing forces of the Polish zloty/euro rate. We apply the Gonzalo-Granger decomposition to calculate the permanent equilibrium exchange rate and to identify the pulling forces of the zloty exchange rate. We demonstrate that this approach may be useful for Polish authorities while entering the ERM II as well as within that mechanism.
Volume (Year): 1 (2009)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://cejeme.org/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Soren Johansen, 2002. "A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model," Econometrica, Econometric Society, vol. 70(5), pages 1929-1961, September.
- Égert, Balázs & Lommatzsch, Kirsten, 2004.
"Equilibrium exchange rates in the transition : the tradable price-based real appreciation and estimation uncertainty,"
BOFIT Discussion Papers
9/2004, Bank of Finland, Institute for Economies in Transition.
- Balázs Égert & Kirsten Lommatzsch, 2004. "Equilibrium Exchange Rates in the Transition: The Tradable Price-Based Real Appreciation and Estimation Uncertainty," William Davidson Institute Working Papers Series 2004-676, William Davidson Institute at the University of Michigan.
- Greenslade, Jennifer V. & Hall, Stephen G. & Henry, S. G. Brian, 2002. "On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1517-1537, August.
- Joanna Beza-Bojanowska & Ronald MacDonald, 2009.
"The Behavioural Zloty/Euro Equilibrium Exchange Rate,"
CESifo Working Paper Series
2568, CESifo Group Munich.
- Joanna Beza-Bojanowska, 2009. "The Behavioural Zloty/Euro Equilibrium Exchange Rate," National Bank of Poland Working Papers 55, National Bank of Poland, Economic Institute.
- Ronald MacDonald & Jun Nagayasu, 2000.
"The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials: A Panel Study,"
IMF Staff Papers,
Palgrave Macmillan, vol. 47(1), pages 5.
- Jun Nagayasu & Ronald MacDonald, 1999. "The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials; A Panel Study," IMF Working Papers 99/37, International Monetary Fund.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, December.
- Gonzalo, Jesus & Granger, Clive W J, 1995.
"Estimation of Common Long-Memory Components in Cointegrated Systems,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 13(1), pages 27-35, January.
- Tom Doan, . "RATS programs to replicate Gonzalo and Granger JBES 1995 paper," Statistical Software Components RTZ00074, Boston College Department of Economics.
- Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers 4, Boston University - Department of Economics.
- Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
- Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2001.
"Determinants of the euro real effective exchange rate: a BEER/PEER approach,"
- Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2002. "Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 437-461, December.
- Maeso-Fernandez, Francisco & Osbat, Chiara & Schnatz, Bernd, 2001. "Determinants of the euro real effective exchange rate: a BEER/PEER approach," Working Paper Series 0085, European Central Bank.
- MacDonald, Ronald, 2000. "Concepts to Calculate Equilibrium Exchange Rates: An Overview," Discussion Paper Series 1: Economic Studies 2000,03, Deutsche Bundesbank, Research Centre.
- Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, December.
- Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
- Clark, Peter B. & MacDonald, Ronald, 2004.
"Filtering the BEER: A permanent and transitory decomposition,"
Global Finance Journal,
Elsevier, vol. 15(1), pages 29-56.
- Peter B. Clark & Ronald MacDonald, 2000. "Filtering the Beer; A Permanent and Transitory Decomposition," IMF Working Papers 00/144, International Monetary Fund.
When requesting a correction, please mention this item's handle: RePEc:psc:journl:v:1:y:2009:i:1:p:35-55. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Krzysztof Osiewalski)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.