The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches
Abstract
:1. Introduction
2. Methodology
3. Results
4. Discussion
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Appendix A
Appendix B
References
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USD | EUR | JPY | CHF | MXN | TRY | |
---|---|---|---|---|---|---|
) | ||||||
Augmented Dickey–Fuller test (ADF) | ||||||
5% Critical Value: Test statistic: | −1.94 −12.90 | −1.94 −12.22 | −1.94 −12.41 | −1.94 −12.96 | −1.94 −14.22 | −1.94 −13.10 |
Kwiatkowski, Phillips, Schmidt and Shin test (KPSS) | ||||||
5% Critical Value: Test statistic: | 0.463 0.127 | 0.463 0.154 | 0.463 0.079 | 0.463 0.136 | 0.463 0.088 | 0.463 0.214 |
) | ||||||
Augmented Dickey–Fuller test (ADF) | ||||||
5% Critical Value: Test statistic: | −1.94 −1.88 | −1.94 −2.28 | −1.94 −1.58 | −1.94 −1.60 | −1.94 −0.36 | −1.94 −0.72 |
Kwiatkowski, Phillips, Schmidt and Shin test (KPSS) | ||||||
5% Critical Value: Test statistic: | 0.463 0.459 | 0.463 0.232 | 0.463 1.510 | 0.463 0.851 | 0.463 0.644 | 0.463 0.484 |
Zivot–Andrew test | ||||||
Test statistic: p-value: | −5.12 <0.001 | −3.43 <0.001 | −3.75 0.017 | −3.14 0.032 | −4.06 0.003 | −4.90 0.001 |
Coefficients | USD | EUR | JPY | CHF | MXN | TRY |
---|---|---|---|---|---|---|
mean equation | ||||||
0.001 | −0.001 | 0.005 | 0.009 * | −0.008 *** | −0.013 ** | |
0.055 | −0.187 | −3.993 ** | −3.667 ** | −0.997 ** | −0.692 | |
variance equation | ||||||
0.001 | 0.001 * | 0.001 ** | 0.001 ** | 0.002 *** | 0.001 *** | |
0.065 * | 0.237 ** | 0.406 *** | 0.573 ** | 0.043 *** | 0.291 *** | |
0.075** | - | - | - | 0.051*** | - | |
- | - | - | −0.583 ** | - | - | |
0.135 * | 0.637 *** | 0.418 ** | 0.412 *** | 0.552 *** | - | |
0.890 *** | - | - | - | 0.048 *** | - | |
1.426 *** | 1.728*** | 1.504*** | 1.494*** | 1.948 *** | - | |
Wald test () | ||||||
F test statistic: | 0.207 | 2.335 * | 8.999 *** | 4.299 ** | 19.448 *** | 3.410 ** |
USD | EUR | JPY | CHF | MXN | TRY | |
---|---|---|---|---|---|---|
Time series stationarity tests | ||||||
ADF test | ||||||
5% Critical Value: Test Statistic: | −1.94 −3.821 | −1.94 −2.067 | −1.94 −3.868 | −1.94 −2.831 | −1.94 −2.725 | −1.94 −0.740 |
KPSS test | ||||||
5% Critical Value: Test Statistic: | 0.463 0.169 | 0.463 0.227 | 0.463 0.104 | 0.463 0.157 | 0.463 0.094 | 0.463 0.270 |
Ljung–Box Q test for autocorrelation (21 retards ~ 1 month) | ||||||
p-value: | 0.006 | 0.007 | 0.057 | 0.000 | 0.000 | 0.067 |
Nonlinearity tests: | ||||||
Surrogate Test (p-value): | <0.05 | <0.05 | <0.05 | <0.05 | <0.05 | <0.05 |
Terasvirta Test (p-value): | 0.386 | 0.000 | 0.681 | 0.067 | 0.000 | 0.000 |
White Test (p-value): | 0.671 | 0.028 | 0.611 | 0.024 | 0.066 | 0.214 |
BDS Test (ARMA fit, p-value): | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
BDS Test (shuffled data): | >0.1 | >0.1 | >0.1 | >0.1 | >0.1 | >0.1 |
USD | EUR | JPY | CHF | MXN | TRY | |
---|---|---|---|---|---|---|
Heteroscedasticity tests | ||||||
McLeod–Li (p-value): | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Engle ARCH (p-value:) | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
Variance nonlinearity tests | ||||||
Surrogate Test (p-value): | <0.05 | <0.05 | <0.05 | <0.05 | <0.05 | <0.05 |
Terasvirta Test (p-value): | 0.004 | 0.000 | 0.024 | 0.000 | 0.276 | 0.000 |
White Test (p-value): | 0.004 | 0.001 | 0.032 | 0.000 | 0.000 | 0.000 |
BDS Test (ARMA fit, p-value): | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
BDS Test (shuffled data, p-value): | >0.1 | >0.1 | >0.1 | >0.1 | >0.1 | >0.1 |
The Period from Access to the E.U. (3 May 2004, n = 4336) | Periods Since the End of the Crisis (1 January 2010, n = 2857) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Returns | Variance | Returns | Variance | |||||||||
Hurst DFA | Hurst DFA_SHUFF | BDS | BDS SHUFF | Hurst DFA | Hurst DFA_SHUFF | Hurst DFA | Hurst DFA_SHUFF | BDS | BDS SHUFF | Hurst DFA | Hurst DFA_SHUFF | |
USD | 0.4944 | 0.4968 | <0.05 | >0.05 | 0.6520 | 0.4814 | 0.5039 | 0.5147 | <0.05 | >0.05 | 0.7168 | 0.5117 |
EUR | 0.4750 | 0.5206 | <0.05 | >0.05 | 0.6511 | 0.5023 | 0.4851 | 0.4713 | <0.05 | >0.05 | 0.6954 | 0.4855 |
JPY | 0.5382 | 0.5003 | <0.05 | >0.05 | 0.7222 | 0.4958 | 0.5233 | 0.4826 | <0.05 | >0.05 | 0.7172 | 0.5273 |
CHF | 0.5419 | 0.5027 | <0.05 | >0.05 | 0.6174 | 0.5291 | 0.5543 | 0.5005 | <0.05 | >0.05 | 0.7633 | 0.5146 |
MXN | 0.4242 | 0.5272 | <0.05 | >0.05 | 0.6249 | 0.4996 | 0.4339 | 0.4964 | <0.05 | >0.05 | 0.6533 | 0.4871 |
TRY | 0.4593 | 0.5020 | <0.05 | >0.05 | 0.6157 | 0.5015 | 0.4832 | 0.4962 | <0.05 | >0.05 | 0.7303 | 0.4952 |
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Czech, K.; Pietrych, Ł. The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches. Risks 2021, 9, 142. https://doi.org/10.3390/risks9080142
Czech K, Pietrych Ł. The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches. Risks. 2021; 9(8):142. https://doi.org/10.3390/risks9080142
Chicago/Turabian StyleCzech, Katarzyna, and Łukasz Pietrych. 2021. "The Efficiency of the Polish Zloty Exchange Rate Market: The Uncovered Interest Parity and Fractal Analysis Approaches" Risks 9, no. 8: 142. https://doi.org/10.3390/risks9080142