Figure 1.
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.
Table 1.
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*** |
Table 2.
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 |
Table 3.
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 |
Table 4.
Results of the ADF test
Figure 3.
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.
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.