Évf. 13 szám 2 (2014)
Tanulmányok

A nominális árfolyam és a monetáris makrogazdasági fundamentumok közötti hosszú távú egyensúlyi kapcsolat tesztelése

Megjelent december 15, 2014
Andrea Szabó
Debreceni Egyetem Gazdaságtudományi Kar
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APA

Szabó, A. (2014). A nominális árfolyam és a monetáris makrogazdasági fundamentumok közötti hosszú távú egyensúlyi kapcsolat tesztelése. Competitio, 13(2), 36–58. https://doi.org/10.21845/comp/2014/2/3

A monetáris árfolyammodelleknek és azok egyik fundamentális építőelemének, a vásárlóerő-paritásnak az idősoros tesztelése a legtöbb esetben nem támasztotta alá az elméleti modellek feltevéseit. Így az irodalom egyre inkább a paneltechnikák alkalmazása felé fordult mindkét modell tesztelése során, mivel a panel kointegrációs teszteknek nagyobb az erejük, mint az idősoros kointegrációs teszteknek. A következőkben panel kointegrációs teszttel vizsgáljuk meg a monetáris árfolyammodellek és a vásárlóerő-paritás érvényességét 15 OECD-ország dollárárfolyamán keresztül az 1996. I. negyedév és a 2011. IV. negyedév közötti periódusban. Az eredmények mérsékelten igazolják a monetáris árfolyammodellek és a vásárlóerőparitás érvényességét is.

Journal of Economic Literature (JEL) kódok: F31, F41, C33

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