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Theoretical and Applied Economics
No. 2 / 2015 (603), Summer

Short-run determinants of the USD/PLN exchange rate and policy implications

Yu HSING
Southeastern Louisiana University, Hammond, USA

Abstract. This paper examines short-run determinants of the U.S. dollar/Polish zloty (USD/PLN) exchange rate based on a simultaneous-equation model of demand and supply. Using a reduced form equation and the EGARCH model, the paper finds that the USD/PLN exchange rate is positively associated with the real reference rate in Poland, real GDP in the U.S., the real stock index in Poland and the expected exchange rate and is negatively influenced by the U.S. real federal funds rate, real GDP in Poland, and the real stock index in the U.S. Hence, monetary policy is effective in influencing the USD/PLN exchange rate.

Keywords: exchange rates, interest rates, real GDP, stock indexes, EGARCH.

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