Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel (2009): Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis. Published in: Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress International Scientific Conference, Szeged, November 19-21, 2009 (14 July 2010): pp. 563-578.

Abstract

This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive methodology for daily values of the currency rates and the interest rates during the crisis. We compare the results obtained with a similar analysis for a period of time before the crisis began and we find significant differences.

• Item Type: MPRA Paper
• Language: English
• Keywords: Uncovered Interest Rates Parity, Vector Autoregressive Model, Financial Crisis, Romanian Foreign Exchange Market
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G19 - Other; G - Financial Economics > G0 - General > G01 - Financial Crises

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