PL EN


2005 | 14 | 205-227
Article title

Influence of regulations on exchange rates behaviour - an econometric analysis

Authors
Selected contents from this journal
Title variants
Languages of publication
PL
Abstracts
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.
Year
Volume
14
Pages
205-227
Physical description
Document type
ARTICLE
Contributors
  • E. M. Syczewska, Szkola Glówna Handlowa w Warszawie, Instytut Ekonometrii, al. Niepodleglosci 164, 02–554 Warszawa, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
06PLAAAA00731810
YADDA identifier
bwmeta1.element.29ded90c-aa18-3425-ad2a-56f23c20b661
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.