Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries
Journal Title: Dynamic Econometric Models - Year 2009, Vol 9, Issue 1
Abstract
In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate from the long-term equilibrium rate and the PPP theory is at variance with the data, two panel models were estimated to identify factors that influence exchange rates of Scandinavian and CEFTA countries.
Authors and Affiliations
Dorota Górecka, Dominik Śliwicki
Keywords
Related Articles
- EP ID EP129784
- DOI -
- Views 91
- Downloads 0
Estimating and Forecasting GDP in Poland with Dynamic Factor Model
Presented paper concerns the dynamic factor models theory and application in the econometric analysis of GDP in Poland. DFMs are used for construction of the economic indicators and in forecasting, in analyses of the mon...
An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013
This article presents research results and describes and clarifies differences in a level of the entrepreneurship index observed between Polish voivodeships in the period from 2004 to 2013. The expected results were conf...
Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries
In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was...
The Formula of Unconditional Kurtosis of Sign-Switching GARCH(p,q,1) Processes
In the paper we argue that a general formula for the unconditional kurtosis of sign-switching GARCH(p,q,k) processes proposed by Thavaneswaran and Appadoo (2006) does not give correct results. To show that we revised the...
Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial dat...