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- W168466946 abstract "Irasunkban azt vizsgaljuk, hogy a hosszu lejaratu hataridős arfolyamok stacionaritasat feltetelező hibakorrekcios modellek, amelyeknek korabbi szamitasok szerint - a vilag devizapiaci forgalmanak mintegy 75 szazalekat kitevő fejlett ipari orszagokra alkalmazva - kitűnő a mintan kivuli előrejelző erejuk, hogyan kepesek harom keletkozep- europai orszag devizaarfolyamat előrejelezni. A harom vizsgalat ala vont deviza (cseh, magyar, lengyel) eseteben az eredmenyek relacionkent nagyon elternek, es osszessegeben kedvezőtlenebbek, mint a fejlett ipari orszagokra kapott eredmenyek, amit a nem teljesen rugalmas arfolyamrezsim, a rendelkezesre allo adatsor rovidsege, az eurozona-csatlakozashoz kapcsolodo bizonytalansagok, a devizakockazati es a hataridős kamatpremium letezese, tovabba a Balassa-Samuelson-hatas egyuttes befolyasakent tudunk ertelmezni. JEL kod: E43, F31, F47. /===/ This paper studies whether models that assume long-maturity forward exchange rates are stationary (which proved in earlier studies to provide superior forecasting ability when applied to exchange rates of major currencies) are capable of forecasting the Euro exchange rates of three Central-East European currencies (the Czech koruna, Hungarian forint and Polish zloty). The results for the three currencies differ from each other and are generally much worse than those obtained earlier for major currencies. These unfavourable results are attributed to the consequences of managed exchange-rate systems, to the short time series available, to uncertainties related to future Euro-zone entry, to the existence of a foreign exchange and term premium, and to the Balassa–Samuelson effect." @default.
- W168466946 created "2016-06-24" @default.
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- W168466946 date "2007-06-01" @default.
- W168466946 modified "2023-09-23" @default.
- W168466946 title "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével (Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates)" @default.
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