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

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

International Journal of Management and Economics
Volume 60 (2024): Issue 1 (March 2024)
By: Jakub Borowski and  Krystian Jaworski  
Open Access
|Mar 2024

Figures & Tables

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

VariableVIF
VIX1.222
Twitter variable1.282
Credit default swaps1.805
Government bond yield spread1.215
NBP interventions1.784

Results of the ADF test

VariableStatistic
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

VariableCoefficientHAC t-statistic
Constant4.5082(126.81)***
VIX0.0034(2.99)***
Twitter variable0.0001(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)**
Observations78
R20.690
Adjusted R20.669
F-statistic32.12***

Correlation coefficients between explanatory variables

Explanatory variablesVIXTwitter variableCredit default swapsGovernment bond yield spread
VIX1.0000.1770.3830.255
Twitter variable0.1771.0000.2460.365
Credit default swaps0.3830.2461.0000.205
Government bond yield spread0.2550.3650.2051.000
DOI: https://doi.org/10.2478/ijme-2023-0026 | Journal eISSN: 2543-5361 | Journal ISSN: 2299-9701
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Language: English
Page range: 33 - 45
Submitted on: Jul 6, 2023
Accepted on: Dec 6, 2023
Published on: Mar 22, 2024
Published by: Warsaw School of Economics
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
conflict,
currency volatility,
geopolitical risk,
regional spillovers,
the Russia–Ukraine war
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Business management,
Management accounting, financial controlling, cost calculation, investment

© 2024 Jakub Borowski, Krystian Jaworski, published by Warsaw School of Economics
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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