Źródła fluktuacji realnego efektywnego kursu EUR/ PLN
Sources of real exchange rates fluctuations EUR/ PLN
Author(s): Adam WaszkowskiSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: real exchange rate; vector autoregression model; forecast error variance decomposition
Summary/Abstract: In the article we've raised the issue of explaining the source of the fluctuation of the Real Effective Exchange Rate (REER) using a equilibrium approach for EUR/PLN example. The starting point was to elaborate a model of vector autoregression and its structural form. The specification of a model have been made based on Clarida and Gali's work. To determine the source of the fluctuation of the real exchange rate we used Forecast Error Variance Decomposition. It resulted that the most important (more than 80%) in explaining the variance of the REER are demand shocks.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XII/2011
- Issue No: 2
- Page Range: 389-398
- Page Count: 10
- Language: Polish