Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption Weathering Uncharted Waters |
|
| Author:
| Szkely, Istvn P.
Kbor, dm |
| ISBN: | 978-1-4518-4343-9 |
| Publication Date: | Jan 2004 |
| Publisher: | International Monetary Fund
|
| Book Format: | Paperback |
| List Price: | AUD $23.95 |
Book Description:
|
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...
More DescriptionThe 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.