Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates

• Autorzy: Darvas Zs. , Schepp Z.
• Języki publikacji: HU

Abstrakty

EN

This paper studies whether models that assume long-maturity forward exchange rates are stationary (which proved in earlier studies to provide superior forecasting ability when applied to exchange rates of major currencies) are capable of forecasting the Euro exchange rates of three Central-East European currencies (the Czech koruna, Hungarian forint and Polish zloty). The results for the three currencies differ from each other and are generally much worse than those obtained earlier for major currencies. These unfavourable results are attributed to the consequences of managed exchange-rate systems, to the short time series available, to uncertainties related to future Euro-zone entry, to the existence of a foreign exchange and term premium, and to the Balassa–Samuelson effect.

Słowa kluczowe

EN

EURO-ZONE   EXCHANGE RATES FORECASTING  

• Wydawca: Committee for Economic Sciences of the Hungarian Avademy of Sciences
• Czasopismo: Kozgazdasagi Szemle (Economic Review)
• Rocznik: 2007
• Tom: 54
• Numer: 6
• Strony: 501-528
• Rodzaj publikacji: ARTICLE

Twórcy

autor

Darvas Zs.

autor

Schepp Z.

• Zs. Darvas, no address given, contact the journal editor

Identyfikatory

CEJSH db identifier

07HUAAAA02996139