Model kursu walutowego PLN/EUR. Aplikacja modelu Tobit-CVAR
Modelling exchange rate PLN/EUR. An application of Tobit-CVAR model

Author(s): Aleksander Welfe
Subject(s): Economy
Published by: Wydawnictwa Uniwersytetu Warszawskiego
Keywords: modelling exchange rate; CVAR models; Tobit
Summary/Abstract: Although there are numerous theoretical frameworks and statistical tools, while modelling exchange rates researchers usually focus on one of the factors that shape the actual exchange rate. In this chapter, we present a model that allows us to consider non-stationary variables. Apart from this, we are also able to examine separately the impact of fundamental macroeconomic factors and market factors on exchange rates. For exchange rate PLN/EUR, our results support economic hypotheses.

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