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

Author

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  • Stefanescu, Razvan
  • Dumitriu, Ramona
  • Nistor, Costel

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.

Suggested Citation

  • Stefanescu, Razvan & Dumitriu, Ramona & 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," MPRA Paper 41744, University Library of Munich, Germany, revised 04 Mar 2010.
    • Handle: RePEc:pra:mprapa:41744
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    References listed on IDEAS

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    More about this item

    Keywords

    Uncovered Interest Rates Parity; Vector Autoregressive Model; Financial Crisis; Romanian Foreign Exchange Market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G01 - Financial Economics - - General - - - Financial Crises

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