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The Russian invasion of Ukraine and the exchange rate of the Polish zloty: A fallacy of monetary autonomy?

Jakub Borowski
Jakub Borowski
 y 
Krystian Jaworski
Krystian Jaworski
   | 22 mar 2024
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Article Category: Empirical Paper
Publicado en línea: 22 mar 2024
Páginas: 33 - 45
Recibido: 06 jul 2023
Aceptado: 06 dic 2023
DOI: https://doi.org/10.2478/ijme-2023-0026
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© 2023 Jakub Borowski et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Figure 1.

Credit default swaps for US dollar-denominated 10-year government bonds. Source: Refinitiv.
Credit default swaps for US dollar-denominated 10-year government bonds. Source: Refinitiv.

Figure 2.

Daily number of individual tweets containing the phrase “Wojna w Ukrainie.” API, application programming interface. Source: Own calculations using the Twitter API.
Daily number of individual tweets containing the phrase “Wojna w Ukrainie.” API, application programming interface. Source: Own calculations using the Twitter API.

Figure 3.

Breakdown of EUR/PLN exchange rate fluctuations into underlying factors. NBP, National Bank of Poland. Source: Own calculations.
Breakdown of EUR/PLN exchange rate fluctuations into underlying factors. NBP, National Bank of Poland. Source: Own calculations.

Figure 4.

Estimated impact of the war in Ukraine on the EUR/PLN exchange rate. Source: Own calculations.
Estimated impact of the war in Ukraine on the EUR/PLN exchange rate. Source: Own calculations.

Figure 5.

Response of inflation to the NEER impulse. NBP, National Bank of Poland; NEER, nominal effective exchange rate. Source: NBP Working Paper No. 329 (2020) – Annexes.
Response of inflation to the NEER impulse. NBP, National Bank of Poland; NEER, nominal effective exchange rate. Source: NBP Working Paper No. 329 (2020) – Annexes.

VIF

Variable VIF
VIX 1.222
Twitter variable 1.282
Credit default swaps 1.805
Government bond yield spread 1.215
NBP interventions 1.784

Results of the ADF test

Variable Statistic
EUR/PLN −3.613
VIX −2.121
Twitter variable −2.127
Credit default swaps −4.99***
Government bond yield spread −5.138***
Residuals −4.598***

Model explaining fluctuations of the EUR/PLN exchange rate

Variable Coefficient HAC t-statistic
Constant 4.5082 (126.81)***
VIX 0.0034 (2.99)***
Twitter variable 0.0001 (3.57)***
Credit default swaps (weekly change, lagged by 1 day) 0.0032 (4.1)***
Government bond yield spread (weekly change) 0.0706 (4.28)***
NBP interventions −0.0873 (−1.72)**
Observations 78
R2 0.690
Adjusted R2 0.669
F-statistic 32.12***

Correlation coefficients between explanatory variables

Explanatory variables VIX Twitter variable Credit default swaps Government bond yield spread
VIX 1.000 0.177 0.383 0.255
Twitter variable 0.177 1.000 0.246 0.365
Credit default swaps 0.383 0.246 1.000 0.205
Government bond yield spread 0.255 0.365 0.205 1.000
eISSN:
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Temas de la revista:
Business and Economics, Political Economics, Economic Theory, Systems and Structures, Business Management, Management Accounting, Financial Controlling, Cost Calculation, Investment
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