Opis

• Title:
  Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
• Creator:
  Burda, Adrian Marek;
  Mazur, Błażej;
  Pipień, Mateusz Paweł
• Description:
  The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transition functions is confronted with the linear error-correction mechanism. A class of competing models for recursive samples are compared by the likelihood ratio test, information criteria, and out of sample forecast accuracy measures.
• Object availability:
  Dostęp otwarty
• Rights:
  Prawa autorskie (c) 2018 Dynamic Econometric Models
• Data:
  2017.12.29
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Dynamic Econometric Models; Vol. 17 (2017); 97-114;
  Dynamic Econometric Models; Tom 17 (2017); 97-114;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Wydawca:
  Nicolaus Copernicus University
• Relacja: https://apcz.umk.pl/DEM/article/view/DEM.2017.006/13875
• Temat i słowa kluczowe:
  PPP;
  ESTVECM;
  cointegration;
  exchange rate forecasting;
  C32;
  F31;
  F37
• Identyfikator: https://apcz.umk.pl/DEM/article/view/DEM.2017.006
• Dostawca danych:
  Akademicka Platforma Czasopism
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