Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis

Razvan Stefanescu, Ramona Dumitriu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive methodology for daily values of the currency rates and the interest rates during the crisis. We compare the results obtained with a similar analysis for a period of time before the crisis began and we find significant differences.

Keywords: Uncovered Interest Rates Parity; Vector Autoregressive Model; Financial Crisis; Romanian Foreign Exchange Market (search for similar items in EconPapers)
JEL-codes: G01 G14 G19 (search for similar items in EconPapers)
Date: 2009-09-07, Revised 2010-03-04
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Published in Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress International Scientific Conference, Szeged, November 19-21, 2009 (2010): pp. 563-578

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41744

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