Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Author/Editor:

Istvan P Szekely ; Ádám Kóbor

Publication Date:

January 1, 2004

Electronic Access:

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Summary:

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint-Polish zloty and the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings.

Series:

Working Paper No. 04/16

Subject:

English

Publication Date:

January 1, 2004

ISBN/ISSN:

9781451843439/1018-5941

Stock No:

WPIEA0162004

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

20

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