Metody badania stacjonarności kursów walutowych

• Authors: Gurgul Henryk , Kłęk Krzysztof

Title variants

EN

Stationarity of Foreign Exchanges of Polish Złoty

• Languages of publication: PL

Abstracts

PL

Przedstawiono wyniki badania stacjonarności kursów złotego wobec pięciu walut: euro, dolara amerykańskiego, franka szwajcarskiego, funta szterlinga oraz jena japońskiego. Przy badaniach stacjonarności zastosowano najważniejsze testy, tzn. ADF, DF-GLS, Phillipsa-Perrona oraz KPSS.

EN

In this paper the empirical results concerning the stationarity testing of foreign exchanges of Polish zloty against five main world currencies are presented. By mean of ADF, DF-GLS and Philips-Perron tests the non-stationarity of order 1 in all considered time series is established. The KPSS test indicates integration of the investigated time series of order 2. (original abstract)

Keywords

PL

Kurs walutowy; Teoria kursu walutowego; Kształtowanie kursu walutowego; Analiza szeregów czasowych

EN

Exchange rates; Exchange rate theory; Exchange rate developments; Time-series analysis

• Publisher: Wydawnictwo WSEI Kraków
• Journal: Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
• Year: 2008
• Issue: 4
• Pages: 69-88

Contributors

author

Gurgul Henryk

• Wyższa Szkoła Ekonomii i Informatyki w Krakowie

author

Kłęk Krzysztof

• Wyższa Szkoła Ekonomii i Informatyki w Krakowie

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