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

• Authors: Darvas Zs. , Schepp Z.
• 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.

Keywords

EN

EURO-ZONE; EXCHANGE RATES FORECASTING

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Committee for Economic Sciences of the Hungarian Academy of Sciences
• Journal: Kozgazdasagi Szemle (Economic Review)
• Year: 2007
• Volume: 54
• Issue: 6
• Pages: 501-528
• Document type: ARTICLE

Contributors

author

Darvas Zs.

author

Schepp Z.

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

Identifiers

CEJSH db identifier

07HUAAAA02996139