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Impacts of Financial Stock Prices and Exchange Rates on the Demand for Money in Poland

100%

Hsing Y.

South East European Journal of Economics and Business

2007

vol. 2

issue 1

7-13

Applying the extended Box-Cox model and the Newey-West method, this paper finds that the demand for real M2 is positively influenced by real GDP and the real effective exchange rate, negatively affected by the deposit rate and the world interest rate, and not correlated with the real financial stock price. Hence, real depreciation of the zloty or a lower world interest rate would raise real output. The widely used log-linear form or the linear form can be rejected at the 5% or 1% level in favor of the extended Box-Cox model, suggesting that the elasticity or the slope is not a constant but varies with the values of the dependent and independent variables.

Application of Monetary Models of Exchange Rate Determination for Poland

100%

Hsing Y.

South East European Journal of Economics and Business

2008

vol. 3

issue 2

19-24

The zloty/USD exchange rate is examined based on the Dornbusch model, the Bilson model, the Frenkel model, and the Frankel model. Empirical results show that the coefficient of the relative money supply is positive and significant, that the coefficient of the relative output is negative and significant, and that the Bilson model or the Frenkel model applies to Poland. Hence, the nominal exchange rate is positively affected by the relative interest rate and the relative expected inflation rate. The Balassa-Samuelson effect is confirmed in both models. The Bilson model has a smaller root mean squared error or mean absolute percent error than the Frenkel model.

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2 South East European Journal of Economics and Business

2 Hsing Y.

1 2008

1 2007

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Impacts of Financial Stock Prices and Exchange Rates on the Demand for Money in Poland

Application of Monetary Models of Exchange Rate Determination for Poland