Arbeitspapier

The behavioural zloty/euro equilibrium exchange rate

Poland is obligated to adopt the euro after the fulfilment, inter alia, of the exchange rate criterion which requires entering the Exchange Rate Mechanism II (ERM II). The European Central Bank recommends that the ERM II central rate should reflect the best possible assessment of the equilibrium exchange rate. In this paper we use the BEER and PEER approach to estimate real Polish zloty/euro equilibrium rate. Although the main goal of our analysis is to compute measures of current and total misalignment, we also check the sensitivity of the equilibrium exchange rate estimates to our choice of the risk premium proxy as well as to our approach for computing the total misalignment. We demonstrate that the BEER/PEER estimates of the PLN/EUR rate are statistically robust and that this approach may be useful for setting the central parity rate at which the zloty enters ERM II.

Language
Englisch

Bibliographic citation
Series: CESifo Working Paper ; No. 2568

Classification
Wirtschaft
Foreign Exchange
Current Account Adjustment; Short-term Capital Movements
Subject
Equilibrium exchange rate
BEER
PEER
cointegration analysis
Gonzalo-Granger decomposition
ERM II
Wechselkurs
Gleichgewicht
Kaufkraftparität
Rationale Erwartung
Europäischer Währungsverbund
Schätzung
Euro
Polen
EU-Staaten

Event
Geistige Schöpfung
(who)
Beza-Bojanowska, Joanna
MacDonald, Ronald
Event
Veröffentlichung
(who)
Center for Economic Studies and ifo Institute (CESifo)
(where)
Munich
(when)
2009

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Beza-Bojanowska, Joanna
  • MacDonald, Ronald
  • Center for Economic Studies and ifo Institute (CESifo)

Time of origin

  • 2009

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