Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption Weathering Uncharted Waters |
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| Author:
| Szkely, Istvn P.
Kbor, dm |
| Series title: | IMF Working Papers |
| ISBN: | 978-1-4518-4343-9 |
| Publication Date: | Jan 2004 |
| Publisher: | International Monetary Fund
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| Book Format: | Paperback |
| List Price: | USD $20.00 |
Book Description:
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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.