Modeling and Forecasting Exchange Rates: A Monetary Approach

Piotr Wdowiński () and Aneta Zglińska-Pietrzak ()
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Piotr Wdowiński: University of Lodz, Poland
Aneta Zglińska-Pietrzak: University of Lodz, Poland

Chapter 11 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 1, pp 155-172 from University of Lodz

Abstract: Chapter 11 examines a flexible price monetary model of the PLN/EUR zloty exchange rate within a cointegration and error correction framework. It has been found that the exchange rate cointegrates with macroeconomic fundamentals and that the error correction model is superior to the simple short-run dynamic model in forecasting exercises. As a general rule, the structural approach can hardly outperform a simple autoregression model of exchange rate.

Keywords: Polish Zloty; Exchange rates; Exchange rate theory; United States dollar (USD) (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2006:n:01:ch:11:mon

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