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".

Language
Englisch

Bibliographic citation
Series: DIW Discussion Papers ; No. 279

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

Event
Geistige Schöpfung
(who)
Fic, Tatiana
Event
Veröffentlichung
(who)
Deutsches Institut für Wirtschaftsforschung (DIW)
(where)
Berlin
(when)
2002

Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

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

Time of origin

  • 2002

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