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Kurs EUR/ITL w kontekście presji spekulacyjnej na włoskiego lira. Perspektywy opuszczenia przez Włochy strefy euro

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Gruszczyński M., Dąbrowska-Gruszczyńska D.
Studia Ekonomiczne
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2019
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vol. 389
7-19
PL
Wraz z narastaniem zadłużenia publicznego we Włoszech podnoszone są kwestie możliwego rozpadu strefy euro, wprowadzenia dwóch walut dla północy i południa czy przywrócenia lira włoskiego. Celem pracy było oszacowanie kursu cienia lira włoskiego względem euro w okresie członkostwa Włoch w strefie wspólnego pieniądza. Postawiona została następująca hipoteza badawcza: kurs cień poprawnie odwzorowuje potencjalny kurs rynkowy, który powinien być kwotowany po ponownym wprowadzeniu lira we Włoszech. W pracy zastosowano metodologię kursu cienia połączoną z koncepcją indeksu presji spekulacyjnej.
EN
Problems with rising of public debt and fiscal stability in Italy facilitated discussions about the disintegration of the euro zone, introduction two currencies for the north and south, or restoration of Italian lira. The aim of the study is to estimate the shadow exchange rate of Italian lira against the euro during Italy’s membership in the euro zone. The research hypothesis is that shadow exchange rate correctly estimates market rate during the era of controlled currency, suggesting new equilibrium rate after the introduction of Italian lira. The shadow exchange rate methodology combined with the concept of an index of speculative pressure was applied in this research.
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Waluty narodowe po opuszczeniu strefy euro. Kurs cień DEM/GRD w kontekście presji spekulacyjnej w latach 2001-2018

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Gruszczyński M., Dąbrowska-Gruszczyńska K.
Studia Ekonomiczne
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2018
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vol. 372
136-148
PL
Kryzysowi finansowemu w Grecji towarzyszyły rozważania na temat możliwości bankructwa kraju wchodzącego do strefy euro oraz konsekwencji związanych z wystąpieniem ze strefy wspólnej waluty. Istotną kwestią związaną z przywróceniem waluty narodowej jest jej nowy kurs, co zdeterminuje bilans kosztów i korzyści związanych z tym posunięciem. Celem niniejszej pracy jest estymacja kursu cienia drachmy greckiej względem marki niemieckiej podczas członkostwa Grecji w strefie euro. W pracy postawiono tezę, że kurs cień poprawnie odwzorowuje potencjalny kurs rynkowy, który powinien być kwotowany po wyjściu Grecji ze strefy wspólnej waluty. W pierwszej części przedstawiono dyskusję na temat bilansu Grexitu w kontekście wydarzeń kryzysowych lat 2009-2018. W części drugiej obliczono wartości kursu cienia DEM/GRD korzystając z indeksu presji spekulacyjnej.
EN
The financial crisis in Greece was accompanied by considerations regarding the bankruptcy of the Euro area member state and the consequences of leaving the EU zone. An important issue related to the reintroduction of the national currency is its new exchange rate, which will determine the balance of costs and benefits of this move. The aim of this work is to estimate the shadow exchange rate DEM/GRD during the membership of Greece in the euro area. The research hypothesis is that the shadow exchange rate more or less correctly estimates the potential market rate, which should be quoted after Grexit. The first part presents a discussion on the Grexit in the context of crisis events in 2009-2018. In the second part, the DEM/GRD shadow exchange rate was estimated using the speculative pressure index methodology.
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Presja spekulacyjna na kurs waluty kraju pozostającego poza strefą euro na przykładzie EUR/CHF

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Gruszczyński M., Dąbrowska-Gruszczyńska K.
Studia Ekonomiczne
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2016
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vol. 305
7-18
PL
Celem pracy jest zapoznanie czytelnika z nowymi wyzwaniami związanymi z pozostawaniem poza strefą euro w zmienionym otoczeniu. W pierwszej części opisano doświadczenia władz szwajcarskich związane z reagowaniem na wydarzenia zachodzące na światowych rynkach finansowych. W drugiej przeanalizowano presję rynkową na kurs waluty pozostającej poza strefą euro oraz oszacowano kurs cień dla okresu kontroli kursu EUR/CHF.
EN
The aim of this work is to present new challenges of remaining outside the euro area in the changing financial environment. The first part describes the experience of the Swiss monetary authority responding to the events taking place on the global financial markets. The second section analyses the market pressure on the Swiss franc and the estimated shadow exchange rate EUR/CHF for the control period.
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Market pressure on currencies in crises. Shadow exchange rate experience of Argentina and Switzerland 2011-2015

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Gruszczyński M., Dąbrowska-Gruszczyńska K.
Journal of Economics and Management
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2017
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vol. 30
58-69
EN
Aim/purpose – The aim of this article is to present two cases of exchange rate controls in Switzerland and Argentina. The paper also examines the problem of presence and evaluation of shadow exchange rate in both countries. Design/methodology/approach – The shadow exchange rates are estimated using speculative pressure index concept that emphasizes the importance of not only exchange rate movements but also changes in foreign exchange reserves as well as interest rate differentials. The research sample covers Switzerland 2001-2016 and Argentina 2006-2016 (for shadow exchange rate simulation: 2011-2014 and 2011-2015, respectively). Findings – The conclusions drawn from international experience and conducted empirical analysis are positive. In both cases, shadow exchange rates were close to market rates after the removal of controls. During the restrictions periods shadow rates followed the intuition given by speculative pressure index concept (and by monetary approach, simultaneously). Research implications/limitations – The research suggests that market forces in both countries were still able to restore exchange rates to market values after the period of control. However, it is obvious that it is very difficult to prove that shadow rates were always determined by economical forces and close to their long-term equilibrium values. Originality/value/contribution – The original approach combines two important economic concepts – the idea of shadow exchange rate and the methodology of index of speculative pressure. Combined together they can help to analyze two interesting and relatively new cases of foreign exchange controls in Switzerland and Argentina. The results can be valuable for economists, researchers and politicians who support or reject the idea of controlling macroeconomic parameters in modern, open economy.
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Nominal exchange rates EUR/GRD and EUR/ITL in the context of leaving the euro zone by Greece and Italy

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Dąbrowska-Gruszczyńska K., Gruszczyński M.
Journal of Economics and Management
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2021
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vol. 43
293-316
EN
Aim/purpose – The aim of this paper is to present two cases of crises in Greece and Italy and to evaluate the shadow exchange rates of hypothetical new currencies (re)introduced after Grexit and Italexit. Design/methodology/approach – Both shadow exchange rates are estimated using speculative pressure index concept that emphasizes the importance of changes in foreign exchange reserves and interest rate differentials in the absence of an independent nomi-nal exchange rate. The research sample covers Greece in 1989-2020 and Italy in 1989-2020. Findings – The research presented the estimation of shadow exchange rates EUR/GRD and EUR/ITL during the euro zone membership period. Leaving the euro area one can expect the following market rates: EUR/GRD 600 and EUR/ITL 1850. That would mean 75% depreciation and 5% appreciation to the current euro parities EUR/GRD 340.75, and EUR/ITL 1936.27, respectively. Research implications/limitations – After potential Grexit Greek authorities could expect significant nominal depreciation of a new currency (or should introduce it with a substantial discount). In the case of Italexit, the new currency would preserve its nomi-nal value. The limitations of the research methodology are: a long period of the analysis covers structural changes of financial markets, crisis events, political factors (e.g., QE programs). Originality/value/contribution – The originality of this approach lies in the combina-tion of two important economic concepts – the idea of shadow exchange rate and the index of speculative pressure. Combined together they help to prepare the methodology of shadow exchange rates evaluation for currencies that are currently in the common currency system (e.g., currency union). These results can help in economic and political discussions on effects of leaving the currency union.
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Leading indicators of sovereign debt and currency crises: Comparative analysis of 2001 and 2018 shocks in Argentina

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Gruszczyński M., Majczak P.
Journal of Economics and Management
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2020
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vol. 42
20-47
EN
Aim/purpose – This paper investigates the accuracy of leading indicators in the case of the 2001 sovereign default crisis and the 2018 currency turmoil in Argentina.Design/methodology/approach – In this paper, we conducted early warning signals analysis based on a-priori selected variables. For each of the macroeconomic variables, we computed yearly changes and selected the threshold to minimise the noise-to-signal ratio, i.e. the ratio of percentage of false signals in ‘normal’ times to percentage of good signals in a two-year period preceding each of the crises.Findings – The predictive power of indicators differs significantly in various crisis epi-sodes. For the 2001 crisis, the decline in value of bank deposits was the best leading indicator based on the noise-to-signal ratio. For the 2018 currency crisis, the lowest noise-to-signal ratio was observed for the lending-deposit rate ratio.Research implications/limitations – The survey is limited mostly by the data availabil-ity and their quality.Originality/value/contribution – This paper gives a complex review of the major early warning indicators in the context of the most recent history of Argentina’s economy. It applies a set of classical leading indicators to two modern cases of financial crises. The paper proposes an original ‘knocking the window’ approach to the presentation of tradi-tional warning concepts in the context of current economic events.
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Sukces i załamanie argentyńskiego eksperymentu gospodarczego. Kurs peso w kontekście presji rynkowej w latach 2006-2015

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Gruszczyński M., Dąbrowska-Gruszczyńska K.
Studia Ekonomiczne
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2018
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vol. 352
76-86
PL
W 2011 r. władze argentyńskie zdecydowały się na wprowadzenie systemu kontroli obrotów kapitałowych, który obowiązywał do 2015 r. Celem pracy jest oszacowanie tzw. kursu cienia USD/ARS w okresie kontroli kursu. W pracy zweryfikowano hipotezę, że kurs cień, wyznaczany za pomocą klasycznych parametrów monetarnych, powinien poprawnie odzwierciedlać rzeczywistą sytuację rynkową, a w rezultacie nie odbiegać zbytnio od kursu USD/ARS po jego uwolnieniu. W pierwszej części przedstawiono reformy gospodarcze przeprowadzone w Argentynie po kryzysie finansowym z 2001 r. W części drugiej, korzystając z koncepcji kursu cienia oraz indeksu presji spekulacyjnej oszacowano wartości kursu cienia w okresie kontroli.
EN
The aim of this work is to estimate the shadow exchange rate during the period of foreign exchange control in Argentina in 2011-2015. The hypothesis of this work is that the shadow exchange rate, determined by classical monetary parameters, reflects the actual market situation and, consequently, should not differ substantially from the exchange rate after abandoning the system of controls. The first part presents reforms and economic changes in Argentina after the 2001 crisis. The second part describes concepts of shadow exchange rate and speculative pressure index which were combined together to evaluate shadow exchange rate.
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