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2021, vol. 18, br. 1, str. 151-172
Domaća potrošnja i neizvesnost deviznog kursa u monetarnoj uniji - dokazi iz evrozone
BaumTenpers Theoretical and Empirical Research Group, Lagaos, Nigeria

e-adresaokaforsam@gmail.com
Sažetak
Istraživanje pokušava da otkrije kako realna potrošnja kratkoročno i dugoročno reaguje na neizvesnost deviznog kursa za najveću svetsku monetarnu uniju - evrozonu. Dvanaest zemalja evrozone je uzorkovano za period 1995Q1-2019Q4. Koristeći generalizovanu autoregresivnu uslovnu heteroskedastičnost (GARCH) i objedinjenu srednju grupu, rezultati pokazuju da nesigurnost deviznog kursa značajno umanjuje dugoročnu potrošnju dok je kratkoročni efekat pomešan. U referentnom modelu dobijen je negativan i značajan koeficijent korekcije greške, što omogućava argument da i) postoje dokazi o povratku na dugoročni ravnotežni put potrošnje nakon kratkoročnih odstupanja i ii) brzina prilagođavanja ravnoteži je niska, sa koeficijentom od ~ 4%. To sugeriše da je u evrozoni konvergencija ka dugoročnoj ravnoteži spora, jer je procenat neravnoteže korigovane u jednom kvartalu, nakon šoka, oko 4%, što znači da bi za polovinu neravnoteža ili odstupanja od dugoročne putanje potrošnje koja treba da se isprave trebalo ~17 kvartala.
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O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.5937/EJAE18-28714
primljen: 05.10.2020.
revidiran: 22.10.2020.
prihvaćen: 08.03.2021.
objavljen u SCIndeksu: 23.04.2021.
metod recenzije: dvostruko anoniman
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