|
|
|
|
Author/Editor:
|
Kóbor, Ádám ; Székely, István P.
|
|
|
|
|
|
Publication Date:
|
January 01, 2004
|
|
|
|
Electronic Access:
|
Free Full text
(PDF file size is 336KB).
Use the free
Adobe Acrobat Reader
to view this PDF file
Link to data for this title.
(ZIP file size is 73KB).
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
|
|
|
|
|
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(s):
|
Exchange markets | Czech Republic | Hungary | Poland | Slovak Republic | Euro | Economic models
|
|
|
Author's Keyword(s):
|
Markov regime-switching model | foreign exchange market volatility | EU accession countries |
|
|
|
|
|
|
|
|
