Arbeitspapier
The international integration of foreign exchange markets in the central and east European accession countries: speculative efficiency, transaction costs and exchange rate premiums
A test of speculative efficiency on the foreign exchange markets of Poland, the Czech Republic, Hungary and the Slovak republic was unable to identify a cointegration relationship between forward and spot rates against the euro for the period between 1999 and mid-2002. Econometric studies confirm the existence of a time-variable exchange rate premium in all of the above countries. However, information and transaction costs also appear to be responsible for the observed deviations from speculative efficiency. The segmentation of the foreign exchange markets is likely to hamper the coordination of national monetary and foreign exchange policies within ERM II. In addition, this segmentation increases uncertainty in setting the central rate against the euro.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2003,08
- Klassifikation
-
Wirtschaft
- Thema
-
Devisenmarkt
Marktintegration
Zinsparität
Devisenspekulation
Wechselkurs
Transaktionskosten
Risikoprämie
Schätzung
Polen
Tschechische Republik
Ungarn
Slowakei
EU-Staaten
Osteuropa
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Herrmann, Sabine
Jochem, Axel
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Herrmann, Sabine
- Jochem, Axel
- Deutsche Bundesbank
Entstanden
- 2003
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