Common Volatility Trends in the Central and Eastern European Currencies and the Euro

Author/Editor:

Marcus Pramor ; Natalia T. Tamirisa

Publication Date:

September 1, 2006

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

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:

How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic and financial structures of these economies. Nonetheless, the degree of commonality remains weaker than what had been found for major European currencies before the introduction of the euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the Hungarian forint, which remains a source of volatility shocks to regional currencies.

Series:

Working Paper No. 2006/206

Subject:

Currencies Currency markets Economic integration Exchange rates Financial markets Financial sector policy and analysis Foreign exchange Monetary unions Money Spillovers

Frequency:

Annually

English

Publication Date:

September 1, 2006

ISBN/ISSN:

9781451864663/1018-5941

Stock No:

WPIEA2006206

Pages:

31

Please address any questions about this title to publications@imf.org