Empirical Economics

, Volume 28, Issue 4, pp 839–860 | Cite as

The Polish exchange rate system: A unit root and cointegration analysis

  • Carsten Trenkler


In October 1991 Poland has established a crawling peg regime in which the zloty is tied to a currency basket and devalued with a monthly rate of crawl. If the monetary authorities are successful in defending the crawling peg the basket rate measured in Polish zloty is supposed to be stationary. Furthermore, a stable long-run relationship between the zloty-U.S. dollar rate and the basket's value expressed in U.S. dollar is expected to exist. The results of the unit root and cointegration analysis indicate that the monetary authorities have been able to defend the crawling peg for the sample periods under study, although it seems that not all requirements of the exchange rate regime have been met. The foreign exchange markets, however, have not supported the relationships derived from the crawling peg system after the introduction of the free floating system in April 2000.


Exchange rates crawling peg testing for cointegration unit root tests structural shifts 


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Copyright information

© Springer-Verlag 2003

Authors and Affiliations

  1. 1.Wirtschaftswissenschaftliche Fakultät, Institut für Statistik und ÖkonometrieHumboldt-Universität zu BerlinBerlinGermany

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