Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?

Arbeitspapier

This paper tests whether the exchange rates of the Czech koruna, the Hungarian forint, and the Polish zloty were anchored by market expectations concerning their euro locking rates. First, the process of the exchange rate is derived as a function of the following factors: (i) latent exchange rate, (ii) market expectations concerning locking rate, (iii) market expectations concerning locking date. Then, the locking dates and rates are filtered from historical exchange rates, currency option prices and yield curves. The main finding of the paper is that the relatively stable market expectations concerning the locking rates have substantially stabilized the three analyzed exchange rates.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: MNB Working Papers ; No. 2008/1

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; Financial Aspects of Economic Integration ; Contingent Pricing; Futures Pricing; option pricing
• Thema: monetary union ; eurozone entry ; factor model ; Kalman filter ; exchange rate stabilization ; asset-pricing exchange rate model ; Wechselkurs ; Volatilität ; Währung ; Tschechische Republik ; Polen ; Ungarn ; Eurozone ; EU-Staaten (Osteuropa)

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Naszódi, Anna
• Ereignis: Veröffentlichung
• (wer): Magyar Nemzeti Bank
• (wo): Budapest
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/83599
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ