Testiranje uticaja valutne supstitucije na volatilnost deviznog kursa u Srbiji
Sažetak
Uprkos brojnim različitim definicijama koje egzistiraju u literaturi, valutna supstitucija se generalno shvata kao fenomen kada domaći rezidenti preferiraju upotrebu strane valute u odnosu na domaću valutu. Glavni razlozi njene pojave jesu visoka i volatilna inflacija, snažna deprecijacija nacionalne valute i visok kamatni diferencijal u korist strane valute. Valutna supstitucija, kao monetarni fenomen, široko je rasprostranjena u zemljama Latinske Amerike, Istočne Evrope i nekim zemljama Azije. Ovaj rad je posvećen uticaju valutne supstitucije na volatilnost deviznog kursa u Srbiji. Tokom istraživanja testirane su tri hipoteze: (i) da valutna supstitucija pozitivno utiče na volatilnost stope deprecijacije, (ii) da volatilnost stope deprecijacije snažnije reaguje na negativne nego na pozitivne šokove i (iii) da valutna supstitucija pozitivno utiče na očekivanu stopu deprecijacije. Analiza je sprovedena za period 2002:m1-2015:m12 (2004:m1-2015:m12) primenom modifikovanog EGARCH-M modela. Na osnovu dobijenih rezultata suvereno se odbacuju sve tri hipoteze bez obzira na način kvantifikovanja valutne supstitucije.
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