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

 
Author/Editor: Kóbor, Ádám ; Székely, István P.
 
Publication Date: January 01, 2004
 
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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(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
 
English
Publication Date: January 01, 2004
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA0162004 Pages: 19
Price:
US$15.00 (Academic Rate:
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