EXCHANGE RATE VOLATILITY AND INTERNATIONAL TRADE IN POLAND - APPLICATION OF AUGMENTED GRAVITY MODEL

• Authors: Daniel Stavárek , Jana Šimáková

Title variants

PL

ZMIENNOŚĆ KURSU WALUT A HANDEL MIĘDZYNARODOWY W POLSCE Z ZASTOSOWANIEM ROZSZERZONEGO MODELU GRAWITACYJNEGO

• Languages of publication: EN

Abstracts

EN

This paper applies the gravity model to Poland´s international trade with aim to assess the impact of exchange rate uncertainty of Polish zloty on the trade flows with its main trading partners. The basic gravity model shows trade volume between a pair of countries as an increasing function of their sizes (GDP) and a decreasing function of the distance between them. Additional factors included in the extended model are: population, common border and exchange rate volatility. The measure of exchange rate volatility is estimated by GARCH model. The analysis is provided by using quarterly data over the period 1999:1 – 2014:3. The analysis uses panel data regression for 10 sectors of Poland´s international trade based on SITC classification and six major trading partners (Czech Republic, Germany, France, Great Britain, Italy and Slovakia). The significant parameters obtained from panel regression demonstrate that bilateral exchange rate volatility leads to a decrease in Poland´s total trade. The same direction of relationship was confirmed for food and live animal, beverages and tobacco, crude materials, chemicals, manufactured goods, machinery and transport equipment and miscellaneous manufactured articles.

PL

W artykule zastosowano model grawitacyjny dla Polskiego handlu międzynarodowego w celu oszacowania wpływu wahań kursu złotego na przepływy handlowe z głównymi partnerami Polski. Podstawowy model grawitacyjny pokazuje wolumeny handlu pomiędzy partnerami jako wzrastającą funkcję ich rozmiaru (PKB) i malejącą funkcję odległości pomiędzy nimi. Dodatkowymi czynnikami obecnymi w modelu rozszerzonym są: populacja, wspólna granica oraz zmienność kursu walut. Pomiar zmienności kursu walut dokonuje się za pomocą modelu GARCH. Analizie poddano dane z okresu styczeń 1999 – marzec 2014 i jest to analiza regresji dla danych panelowych dla 10 sektorów polskiego handlu międzynarodowego według klasyfikacji SITC i dla 6 głównych partnerów handlowych Polski (Czechy, Niemcy, Francja, Wielka Brytania, Włochy i Słowacja). Ważne parametry otrzymane z regresji danych pokazują, że dwustronne wahania kursów walut prowadzą do spadku w całkowitym handlu międzynarodowym Polski. Ten sam kierunek relacji stwierdzono w handlu żywnością, żywymi zwierzętami, napojami, tytoniem, surowcami, chemikaliami, produktami wytworzonymi, maszynami i sprzętem do transportu i różnymi innymi wytworzonymi artykułami.

Keywords

EN

exchange rate volatility; international trade; gravity model; sector analysis

PL

zmienność kursu walut; handel międzynarodowy; model grawitacyjny; analiza sektora

• Publisher: Wyższa Szkoła Finansów i Prawa w Bielsku-Białej
• Journal: Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej
• Year: 2015
• Issue: 3
• Pages: 37-49

Dates

published

2015-10-25

Contributors

author

Daniel Stavárek

• Wyższa Szkoła Finansów i Prawa w Bielsku-Białej

author

Jana Šimáková

• School of Business Administration Univerzitní nám. 1934/3, 733 40 Karviná, Czechia

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