Arbeitspapier

The Polish zloty and currency speculation

This paper uses Markov switching models to study short-run movements of the Polish zloty and speculative phenomena in Poland, that is, to investigate whether the exchange rate is "contaminated" by a speculative bubble. The zloty movements are examined in terms of so-called long swings - periods of prevailing appreciation and depreciation of the exchange rate. Speculative fluctuations of the zloty are investigated within two different frameworks: the uncovered interest parity hypothesis and a model of a zloty bubble. The results obtained suggest that the zloty exchange rate is characterised by interweaving periods of appreciation and depreciation with different durations. The uncovered interest parity hypothesis does not hold. Periods were identified, in which the zloty exhibited "bubble properties".

Sprache
Englisch

Erschienen in
Series: DIW Discussion Papers ; No. 279

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Foreign Exchange
Thema
Markov switching
exchange rates
speculative bubbles
Wechselkurs
Devisenspekulation
Bubbles
Zinsparität
Schätzung
Markovscher Prozeß
Polen

Ereignis
Geistige Schöpfung
(wer)
Fic, Tatiana
Ereignis
Veröffentlichung
(wer)
Deutsches Institut für Wirtschaftsforschung (DIW)
(wo)
Berlin
(wann)
2002

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Fic, Tatiana
  • Deutsches Institut für Wirtschaftsforschung (DIW)

Entstanden

  • 2002

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