Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and after the financial crisis

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel: Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and after the financial crisis. In: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009. pp. 563-578. (2010)

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Abstract

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.

Item Type: Article
Journal or Publication Title: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress : International Scientific Conference Szeged, November 19-21, 2009
Date: 2010
ISBN: 978-963-06-9558-9
Page Range: pp. 563-578
Related URLs: http://acta.bibl.u-szeged.hu/57418/
Uncontrolled Keywords: Devizapiac - román, Pénzügyi válság
Additional Information: Bibliogr.: p. 577-578. ; összefoglalás angol nyelven
Date Deposited: 2019. Apr. 25. 09:20
Last Modified: 2020. Apr. 14. 14:45
URI: http://acta.bibl.u-szeged.hu/id/eprint/57825

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