The Polish crawling peg system: A cointegration analysis
Carsten Trenkler
No 2000,71, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Abstract:
After a temporary period of a fixed exchange rate regime pegging the Polish zloty to the U.S. dollar, Poland established a preannounced crawling peg regime on October 15, 1991. In this system the zloty is tied to a currency basket and devalued with a preannounced monthly rate (rate of crawl). If the monetary authorities have been successful in defending the crawling peg stable long-run relationships between the Polish zloty on the one hand and the basket's value and the currencies comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration framework. However, as the transition path of the Polish exchange rate was not; smooth due to discrete steep devaluations one has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for the sample period under study.
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/62196/1/723853533.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200071
Access Statistics for this paper
More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().