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1
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Fluctuations in exchange rate and aggregate exports in Ukraine

100%
Agiomirgianakis G., Serenis D., Tsounis N.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2015
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issue 4 (50)
11-23
EN
This paper examines the effect of Exchange Rate Volatility (ERV) on the aggregate exports of Ukraine during the period of 1990 to 2013 using quarterly data. In the literature, it is found that exchange rate volatility causes a reduction in the overall level of trade. The paper tests this finding for Ukrainian foreign trade in the aforementioned period using the Autoregressive Distributed Lags (ARDL) method to co-integration. Overall, our findings suggest that there is a negative effect of ERV on Ukrainian exports. From a policy prospective, this result is important because it suggests that policy makers should consider the negative effect of ERV on exports when exercising exchange rate policy for balance of payment purposes.
2
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The Tobin tax – an idea whose time may well have come

100%
Gałuszka J.
Nauki o Finansach
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2012
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issue 4(13)
83-96
EN
The social and economic consequences of the financial crisis have forced economists and politicians to seek the fiscal solutions which could be effective in bringing the economy onto the right growth path. However, such decisions also have macroeconomic effects which go beyond state boundaries. The introduction of new fiscal burdens and the modifications in tax rates influence the flow of capital which is susceptible to various changes in fiscal policy. The doctrinal proposition here is the concept of Tobin’s tax, the effectiveness of which depends on the consent of the international community to its implementation in their tax systems. The purpose of the article is to highlight the meaning of this tax in the context of globalization as well as the pros and cons of its use.
3
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Theoretical Aspects of Using Markov Models in Research of Exchange Rate Volatility

100%
Włodarczyk A., Szmigiel T., Technical University in Częstochowa
Acta Universitatis Lodziensis. Folia Oeconomica
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2005
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vol. 194
EN
During modeling of short-run exchange rate fluctuations, there is usually a need for taking into consideration some random-type conditions, i.e. it is necessary to abandon the fundamental exchange rate theories in favor of probabilistic modeling. Among stochastic models, of special interest are Markov models. The main advantages of Markov models include a relative simplicity of construction, easy inferences, well-known estimation methods and especially consistence of properties of these models with the observed properties of many real phenomena. Application of switching models is based on a general assumption that the examined time series can be presented as sequences of random variables of a known type of conditional distribution in all regimes. Known from literature propositions concerning the modeling of exchange rate with the use of switching models did not provide sufficiently good forecasts of the future exchange rate levels because of, among others, low frequency of data used for the construction of the model (quarterly or monthly data). The authors are going to continue the examination of the PLN exchange rate fluctuation with the use of Markov models that was started in this paper. The next stage of their work will be connected with conducting empirical research concerning the occurrence of calendar anomalies in the Polish currency market. For this purpose, a new method based on the Markov chains theory will be applied, which offers a new perspective to this problem. Testing o f the calendar time hypothesis has been considered so far mostly in the aspect of comparison of daily expected values and variances of exchange rate return rates. Then, on the basis of the da ta concerning exchange rates for high measurement frequency, a Ma rkov switching model will be constructed and used for description of the PLN depreciation and appreciation period.
PL
Prawidłowe oszacowanie kierunku zmian kursu wymiany może zmniejszyć ryzyko inwestycji w walutę lub może pozwolić na osiągnięcie większych dochodów z tej inwestycji. W opracowaniu tym autorzy przedstawiają propozycję zastosowania modeli Markowa do wykrycia i opisania prawidłowości rządzących procesem zmienności kursu walutowego. W pierwszej części została wykorzystana teoria łańcuchów Markowa do badania anomalii kalendarzowych występujących n a rynku walutowym związanych z efektem weekendowym lub efektem stycznia. W artykule przedstawiona została również metoda o parta na teorii łańcuchów Markowa, k tó ra może posłużyć d o zbadania wzajemnych powiązań pomiędzy zmiennością wolumenu obrotu oraz zmiennością cen dla terminowych kontraktów walutowych. W drugiej części zostaną przedstawione zagadnienia związane z budową i estymacją parametrów przełącznikowych modeli Markowa. W oparciu o modele przełącznikowe można prognozować zmiany kursu walutowego. Praca ma charakter teoretyczny. Badania empiryczne zostaną przeprowadzone w późniejszym terminie.
4
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Post-Brexit exchange rate volatility and its impact on UK exports to eurozone countries: A bounds testing approach

88%
Naimy V., Khoury R. E., Montero J.-M., Souk J.
Oeconomia Copernicana
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2023
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vol. 14
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issue 1
135-168
EN
Research background: The Brexit referendum had a profound effect on the economic relations between the United Kingdom (UK) and continental Europe. Major economic and financial determinants were affected, including the impact of the GBP/EUR exchange rate volatility on the dynamics of UK exports to the Eurozone. Purpose of the article: This paper seeks to assess the extent to which these dynamics have changed since Brexit and to estimate the magnitude of their impact. Methods: To this end, the volatility behavior of the GBP/EUR exchange rate before and after Brexit is captured using EWMA, GARCH(p,q), and EGARCH(p,q) models for the period of January 1, 2010 to August 31, 2020. The post-Brexit change in the volatility structure of GBP/EUR exchange rates is then tested by including a dummy in the optimal volatility model. Finally, the Autoregressive Distributed Lag (ARDL) Bounds Testing approach is employed to analyze the relationships between exchange rate volatility and exports. Findings & value added: GARCH(1,1) was selected as the winning model and used to examine the volatility structure of the post-Brexit exchange rate, which revealed no significant change. By incorporating a well-grounded proxy for exchange rate volatility into the demand function of exports, and controlling for the industrial production index, terms of trade, and real exchange rate, the analysis showed that exchange rate volatility had a negative impact on export volume to the Eurozone in both the long and short run. Additionally, the industrial production index had a positive effect on export volume in both the long and short run, while an appreciation in the value of the pound relative to the euro adversely affected the competitiveness of UK exports in the Eurozone market in the long run, with no impact in the short run. This paper serves as a benchmark for future studies, as it follows a three-step modeling approach and provides valuable insights into the potential economic and financial consequences a European Union (EU) member state may face should it choose to exit the EU.
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EXCHANGE RATE VOLATILITY AND INTERNATIONAL TRADE IN POLAND - APPLICATION OF AUGMENTED GRAVITY MODEL

63%
Stavárek D., Šimáková J.
Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej
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2015
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issue 3
37-49
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.
6
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Volatility of the Polish zloty against major international currencies compared to other Central and Eastern European currencies in 2004-2010 and 2011-2019

63%
Czaja J.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2020
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issue vol. 64, nr 6
49-64
EN
Exchange rate volatility reached significant levels as one of the problems of the 2008 financial crisis, which showed that the market mechanism, even internationally, is not always conducive to restoring stability in various aspects. The aim of the paper is to compare the exchange rate volatility of the Polish zloty and several other currencies (mainly in the Central European region) against major international currencies such as the US dollar, British pound, euro and Swiss franc before and after the crises in 2004-2010 and 2011-2019. A review of the existing literature aimed to show some effects of exchange rate volatility on the economy. An analysis was made by comparing two periods (2004-2010 and 2011-2019). Exchange rate volatility was calculated as a standard deviation of the twenty-day moving average (by market days). Exchange rate volatility became much lower in the second examined period (in the European Union countries, including Poland) after the strong institutional (activities and interventions of central banks and governments) support started because of the financial crisis in 2008. There was a decrease in currency volatility in the European Union countries, including Poland.
PL
Celem artykułu jest porównanie zmienności kursu złotego i kilku innych walut (głównie w regionie Europy Środkowej) w stosunku do głównych walut międzynarodowych, takich jak dolar amerykański, funt brytyjski, euro i frank szwajcarski przed kryzysem i po nim – w latach 2004-2010 i 2011-2019. Analizy dokonano przez porównanie obu tych okresów. Zmienność kursu walutowego obliczono jako odchylenie standardowe dwudziestodniowej średniej kroczącej (według dni rynkowych). Dzięki szeroko podejmowanym działaniom niwelującym przyczyny i skutki kryzysu finansowego (rok 2008) zmienność kursów walutowych staje się znacznie niższa w drugim badanym okresie, co objęło kraje Unii Europejskiej, w tym Polskę.
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