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Pregled bibliografske jedinice broj: 138715

The VAR and Monetary Model in Analysis of the Foreign Currency Exchange Rate DEM/HRK


Šergo, Zdravko; Tomčić, Zdenko
The VAR and Monetary Model in Analysis of the Foreign Currency Exchange Rate DEM/HRK // An Enterprise Odyssey ; Economics and Business in the New Millenium 2002 / Sharma, Soumitra ; Galetić, Lovorka (ur.).
Zagreb: Graduate School of Economics and Business, Zagreb, 2002. str. 29-57


Naslov
The VAR and Monetary Model in Analysis of the Foreign Currency Exchange Rate DEM/HRK

Autori
Šergo, Zdravko ; Tomčić, Zdenko

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
An Enterprise Odyssey ; Economics and Business in the New Millenium 2002

Urednik/ci
Sharma, Soumitra ; Galetić, Lovorka

Izdavač
Graduate School of Economics and Business, Zagreb

Grad
Zagreb

Godina
2002

Raspon stranica
29-57

ISBN
953-6025-05-1

Ključne riječi
VAR, monetary model, DEM/HRK, regression, GDP, real exchange rate

Sažetak
The analysis of the kuna foreign currency exchange rate based on the VAR model (The Vector Auto-regressive Regression) and monetary model. The aim of this econometric analysis was to isolate significant exogenous variables ; test their importance and prognosis possibilities in relation to the kuna foreign currency exchange rate based on statistical facts. DEM/HRK foreign currency exchange rate has an explicit influence on the strategy of competitive advantages of the Republic of Croatia. The analysis made by the VAR and monetary model has made possible the implicit response as to - in what degree the variation of a single utmost important exogenous variable (the relative relationship of Croatia and Germany, the difference between discount interest rates in Croatia and Germany, monetary mass and the rate of economic growth in the two previously mentioned countries) may contribute to the fluctuation of the kuna foreign currency exchange rate. Monetary models suggest that four variables determine exchange rate movements: relative money supplies of the two countries, GDP growth rates differentials, interest rate differentials, and relative inflation rates. If money supply growth in Croatia were greater than that in the Germany, the kuna should depreciate. If income growth were more rapid in Croatia, the kuna should appreciate. An increase in relative discount interest rates in Croatia should, according to the sticky price and real interest differential models, cause the kuna to depreciate. Higher inflation in Croatia should also cause the kuna to depreciate. Within the limits of the regression diagnostics explained is being the importance of a single parameter and a. group of parameters, and the representation level of the model. The research covered the analysis of a monthly and quarter term period from 1994 to 2001. Nowadays the Croatian academic community and monetary experts conduct an intense debate about the social benefit of the &#8220 ; cheaper&#8221 ; foreign rate of exchange of the HRK. The results show that the nominal foreign currency exchange rate DEM/HRK is not balanced from a viewpoint of purchase power parity and does not maintain stability in respect to the more competitive level of the real foreign currency exchange rate (according to PPP assumption). That affirms the hypothesis that a real kuna foreign currency exchange rate would stimulate better the growth of export than the actual - overestimated one. The aim of shaping the monetary stability of the HRK foreign currency exchange rate in this period is an attempt of co-integration of the explained model with the author's investigation results gained in the field of real monetary exchange rate DEM/HRK, and the econometric positioning of the alliterative real foreign currency exchange rate which has the task to balance the foreign balance-sheet of trade. The obtained real foreign rate of exchange has as a consequence lower variations in the cyclic component of projection of the rate of growth for the GDP, than in the comparison with the actual rates, which manifests itself in weaker contraction, but also expansive movements of the economy. Besides this the real rate of exchange works anti-recession for a larger period of observation. At the average level, in all of the covered period, the potential rates of the projected growth of the GDP are higher than the actually achieved.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekt / tema
0147005

Ustanove
Institut za poljoprivredu i turizam, Poreč