Title: Real exchange rates, US dollar and crude oil price in the tripolar model
Authors: Piotr Keblowski - University of Lodz (Poland) [presenting]
Aleksander Welfe - University of Lodz (Poland)
Katarzyna Leszkiewicz-Kedzior - University of Lodz (Poland)
Abstract: The foreign exchange rates of the non-euro European Union member states show strong dependence on the behaviour of the euro, because the states balance of payments is determined by a high share of intra-EU trade. The Polish currency (the zloty) is used to exemplify that as the exchange rates are additionally influenced by credit default risk premiums and the euro-dollar behaviour, the tripolar model is an appropriate analytical framework. On the other hand, it is found that the euro-dollar exchange rate, real crude oil prices and the parity of real risk-free interest rates define two stabile long-run relationships. The propagation of shocks is demonstrated by means of an impulse-response analysis based on the conditional CVAR model with four cointegrating vectors.