The paper presents the results of an investigation where the concept of a steady-state level of the exchange rate is equated with the capital market equilibrium based on the CHEER approach. The empirical analysis concentrates on Poland, because in this case the assessment of the equilibrium...

A necessary and sufficient condition for global stability of dynamic models is summability to one of the long-run elasticities and cointegration. The short-run coefficients automatically satisfy the homogeneity condition. A relevant restriction has to be imposed in the parameter estimation...

The paper presents a new approach to exchange rate modelling that augments the CHEER model with a sovereign credit default risk as perceived by financial investors making their decisions. In the cointegrated VAR system with nine variables comprised of the short- and long-term interest rates in...

The paper presents factor and predictive GARCH(1,1) models of the Warsaw Stock Exchange (WSE) main index WIG. An approach where the mean equation of the GARCH model includes a deterministic part is applied. The models incorporate such explanatory variables as volume of trade and major...

This study investigates benefits from a trading strategy based on the spillovers from international stock markets to the Polish emerging stock market. The analysis is conducted within the framework of factor and predictive generalized autoregressive conditional heteroskedasticity (GARCH) models...