Czech Koruna and Polish Zloty Currency Options : Information Contnent and Eu-Accession Implications

Author/Editor:

Armando Méndez Morales

Publication Date:

June 1, 2000

Electronic Access:

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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:

Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty (negative for the Czech koruna), related to its larger exposure to external shocks. For countries in transition to Euro integration, the implied trade-off between isolation from shocks and efficient signaling must be addressed based on the risk of exchange rate misalignment at the time of monetary conversion.

Series:

Working Paper No. 00/91

Subject:

English

Publication Date:

June 1, 2000

ISBN/ISSN:

9781451851502/1018-5941

Stock No:

WPIEA0912000

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

36

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