Analysis of the Dynamic Relation between the Currency Rates and the Interest Rates from Romania and Euro Area Before and During the Financial Crisis

Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress International Scientific Conference, Szeged, November 19-21, 2009 (July 14, 2010), pp. 563-578

12 Pages Posted: 6 Oct 2012

See all articles by Razvan Stefanescu

Razvan Stefanescu

University Dunarea De Jos Galati

Ramona Dumitriu

University Dunarea De Jos Galati

Costel Nistor

University Dunarea de Jos Galati

Date Written: July 14, 2010

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.

Keywords: Uncovered Interest Rates Parity, Vector Autoregressive Model, Financial Crisis, Romanian Foreign Exchange Market

JEL Classification: G01, G14, G19

Suggested Citation

Stefanescu, Razvan and Dumitriu, Ramona and Nistor, Costel, Analysis of the Dynamic Relation between the Currency Rates and the Interest Rates from Romania and Euro Area Before and During the Financial Crisis (July 14, 2010). Proceedings of the Challenges for Analysis of the Economy, the Businesses, and Social Progress International Scientific Conference, Szeged, November 19-21, 2009 (July 14, 2010), pp. 563-578. Available at SSRN: https://ssrn.com/abstract=2157386

Razvan Stefanescu (Contact Author)

University Dunarea De Jos Galati ( email )

Str. Domnească, nr. 47
Galati, 800008
Romania

Ramona Dumitriu

University Dunarea De Jos Galati ( email )

Romania

Costel Nistor

University Dunarea de Jos Galati ( email )

Galati, 800001
Romania

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