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Kelet-közép európai devizaárfolyamok elõrejelzése határidõs árfolyamok segítségével

  • Zsolt Darvas


    (Corvinus University of Budapest)

  • Zoltán Schepp


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

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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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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