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

Author/Editor: Pramor, Marcus | Tamirisa, Natalia T.
Authorized for Distribution: September 1, 2006
Electronic Access: Free Full Text (PDF file size is 501KB)
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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: 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.
 
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Series: Working Paper No. 06/206
Subject(s): Eastern Europe | Euro | Exchange rates
Author's keyword(s): Exchange rate | volatility | GARCH | convergence | Central Europe
 
English  
    Published:   September 1, 2006        
    ISBN/ISSN:   1934-7073   Format:   Paper
    Stock No:   WPIEA2006206   Pages:   29
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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