Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries

Dorota Górecka () and Dominik Sliwicki
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Dorota Górecka: Nicolaus Copernicus University in Torun
Dominik Sliwicki: Nicolaus Copernicus University in Torun, Department of Econometrics and Statistics

Dynamic Econometric Models, 2009, vol. 9, 51-60

Abstract: In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was employed. After establishing that the exchange rates permanently deviate from the long-term equilibrium rate and the PPP theory is at variance with the data, two panel models were estimated to identify factors that influence exchange rates of Scandinavian and CEFTA countries.

Keywords: purchasing power parity; long-term equilibrium exchange rate; panel models with fixed individual effects. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:9:y:2009:p:51-60

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