Determinants of the Hungarian forint/ US dollar exchange rate
Applying the EGARCH model and using demand and supply analysis, this paper finds that the HUF/USD exchange rate (units of the Hungarian forint per U.S. dollar) is positively associated with the U.S. Treasury bill rate, U.S. real GDP, the U.S. stock index, the Hungarian inflation rate and the expecte...
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2016-03-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1168.pdf
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| Summary: | Applying the EGARCH model and using demand and supply analysis, this paper
finds that the HUF/USD exchange rate (units of the Hungarian forint per U.S. dollar) is
positively associated with the U.S. Treasury bill rate, U.S. real GDP, the U.S. stock index,
the Hungarian inflation rate and the expected exchange rate and negatively influenced by
the Hungarian Treasury bill rate, Hungarian real GDP, the Hungarian stock index, and the
U.S. inflation rate. The HUF/USD exchange rate has a long-term equilibrium relationship
with these time series variables. |
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| ISSN: | 1841-8678 1844-0029 |