Írásunkban azt vizsgáljuk, hogy a hosszú lejáratú határidõs árfolyamok stacionaritását feltételezõ hibakorrekciós modellek, amelyek korábbi számítások szerint a világ devizapiaci forgalmának mintegy 75%-át kitevõ fejlett ipari országokra alkalmazva kitûnõ mintán...

This paper incorporates demand and supply fundamentals in the determination of the Real Exchange Rate (RER). We are able to confirm the negative influence of the ratio expenditure-PIB and the terms of trade on RER, but in addition we find robust evidence

The aim of the paper is to analyse the determinants of financial crises in a sample of nine transition countries in Central and Eastern Europe with a modified logit model. The modification takes explicitly into account the rare event characteristic of a currency crisis. Our results suggest that...

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...

Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example of the latter. We apply a test, the BDS test,...

Separating seasonal components from other sources of economic fluctuations is crucial for both economic modeling and policy making. Practitioners treat seasonality as noise to be removed before estimating models and tend to apply deseasonalizing methods i