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.
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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: | Conference or Workshop Item |
|---|---|
| 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: | 2022. Nov. 08. 13:09 |
| URI: | http://acta.bibl.u-szeged.hu/id/eprint/57825 |
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