Influence of regulations on exchange rates behaviour - an econometric analysis

• Autorzy: Syczewska E. M.
• Języki publikacji: PL

Abstrakty

EN

The authoress studies behaviour of several daily exchange rates, published by the NBP, for period January 4th 1993-January 31st 2005. The aim is to check whether such major events as changes in exchange rate regimes, switch to floating rate, regulation changes concerning freedom of entrance of the EU financial institutions, and, last but not least, the EU accession would show as significant in econometric analyses. She uses tools ranging from visual inspection of the spectrum of a series, through the Granger causality tests to the formal regression tests. Explanatory variables for the squared logarithmic returns are: series of the main interest rate, of the devaluation rates, and dummy variables. She compares also ratios of the average squared logarithmic returns in periods before and after moments of the regulation changes. She shows that for most events, the change of regulation lead to increase of volatility; not all regulations were significant for all the currencies. The EU accession seems to diminish volatility of returns.

Słowa kluczowe

EN

EU ACCESION; EXCHANGE RATE REGIME; FLOATING RATE; GRANGER CAUSALITY; VOLATILITY

• Wydawca: Warsaw School of Economics, Collegium of Economic Analysis
• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych
• Rocznik: 2005
• Tom: 14
• Strony: 205-227
• Rodzaj publikacji: ARTICLE

Twórcy

autor

Syczewska E. M.,

• E. M. Syczewska, Szkola Glówna Handlowa w Warszawie, Instytut Ekonometrii, al. Niepodleglosci 164, 02–554 Warszawa, Poland

Identyfikatory

CEJSH db identifier

06PLAAAA00731810