Fundamentals and technical trading : behaviour of exchange rates in the CEECs
Bask, Mikael; Fidrmuc, Jarko (01.04.2006)
Numero
10/2006Julkaisija
Suomen Pankki
2006
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-20140807329Tiivistelmä
We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates.Finally, we estimate the impact of the monetary fundamentals for a panel of Central and Eastern European countries (Czech Republic, Poland, Romania and Slovakia) in the second half of the 1990s as well as the complete model of exchange rate determination for daily data over the more recent free-floating period.Key words: foreign exchange market, fundamental analysis, panel cointegration, technical analysis JEL classification numbers: C23, F31, F36
Julkaisuhuomautus
Published in Open Economies Review, Volume 20, Issue 5, November 2009, Pages 589-605