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Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségével

Author

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  • 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.

Suggested Citation

  • Zsolt Darvas & Zoltán Schepp, 2007. "Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségével," Working Papers 2007/3, University of Pécs, Department of Economics and Regional Studies, revised Oct 2007.
  • Handle: RePEc:pec:wpaper:2007/3
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    References listed on IDEAS

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    Citations

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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.

    More about this item

    Keywords

    Exchange rate forecasting; FOREX markets; forward-puzzle;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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