Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
Adrian Marek Burda (),
Błażej Mazur () and
Mateusz Pipień ()
Additional contact information
Adrian Marek Burda: Cracow University of Economics
Dynamic Econometric Models, 2017, vol. 17, 97-114
The purpose of this paper is to verify empirical consequences of imposing various forms of purchasing power parity (PPP) within a class of smooth transition vector error correction models (ESTVECM) for analysis of EUR/PLN exchange rage. 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 like-lihood ratio test, information criteria, and out of sample forecast accuracy measures.
Keywords: PPP; ESTVECM; cointegration; exchange rate forecasting (search for similar items in EconPapers)
JEL-codes: C32 F31 F37 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:17:y:2017:p:97-114
Access Statistics for this article
Dynamic Econometric Models is currently edited by Mariola Pilatowska
More articles in Dynamic Econometric Models from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().