Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and after the financial crisis
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 metho...
Elmentve itt :
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| Dokumentumtípus: | Könyv része |
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2010
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| Sorozat: | Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
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| Kulcsszavak: | Devizapiac - román, Pénzügyi válság |
| Online Access: | http://acta.bibl.u-szeged.hu/57825 |
| Tartalmi kivonat: | 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. |
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| Terjedelem/Fizikai jellemzők: | 563-578 |
| ISBN: | 978-963-06-9558-9 |