specification is an EGARCH specification with suitable lags of the variables in first differences.
Comparison of equations 2, 3 and 4 in Table 8 indicates that the set of variables found significant
for the pre-crisis period is nearly the same as that for the entire period. The coefficient of the
error correction term in Specification 4 is much smaller than in specification 2 and 3, likely
because Russian monetary authorities had less liberal policies for the exchange rate in the pre-
crisis period.32 Specification 4 will be utilized in Section 9 for out of sample forecasting.
Table 7
Poland: error correction equations (equation (5)) for real exchange rate
|
Coefficients Estimates | ||
|
Variable |
Specification 1 |
Specification 2 EGARCH(7, 4) (1995:07 - 2001:09) |
|
EC(-1) |
-0.026933 |
-0.042708 |
|
(0.21) |
(0.00) | |
|
∆log(TOT) |
-0.025976 |
-0.018804 |
|
(0.04) |
(0.00) | |
|
∆FLOW |
-0.130739 |
-0.103030 |
|
(0.06) |
(0.00) | |
|
∆log(OPEN) |
0.035170 |
0.016684 |
|
(0.02) |
(0.00) | |
|
∆log(GOV) |
0.030413 |
0.013732 |
|
(0.18) |
(0.02) | |
|
∆log(DCRE) |
0. 170624 |
0.076929 |
|
(0.01) |
(0.00) | |
|
∆log(NEER) |
1.012465 |
0.938424 |
|
(0.00) |
(0.00) | |
|
∆log(TOT(-1)) |
-0.003272 | |
|
(0.00) | ||
|
∆FLOW(-1) |
-0.069762 |
32 The results on misalignment in section 8 below indicate that this rigid policy for the exchange rate contributed
to the currency crisis.
29
More intriguing information
1. Public infrastructure capital, scale economies and returns to variety2. Tobacco and Alcohol: Complements or Substitutes? - A Statistical Guinea Pig Approach
3. The name is absent
4. Monopolistic Pricing in the Banking Industry: a Dynamic Model
5. The Composition of Government Spending and the Real Exchange Rate
6. The name is absent
7. Innovation and business performance - a provisional multi-regional analysis
8. The name is absent
9. On the origin of the cumulative semantic inhibition effect
10. Healthy state, worried workers: North Carolina in the world economy