PL EN


2007 | 54 | 6 | 501-528
Article title

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

Authors
Title variants
Languages of publication
HU
Abstracts
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.
Year
Volume
54
Issue
6
Pages
501-528
Physical description
Document type
ARTICLE
Contributors
author
author
  • Zs. Darvas, no address given, contact the journal editor
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07HUAAAA02996139
YADDA identifier
bwmeta1.element.8d8b3e19-87d5-38a4-94e3-4bef7a9148a6
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