Arbeitspapier

Volatility of exchange rates in selected new EU members: evidence from daily data

We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange rate. We find that the low credibility of exchange rate management implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 2107

Klassifikation
Wirtschaft
Foreign Exchange
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Thema
Wechselkurs
Volatilität
Inflation Targeting
Europäischer Währungsverbund
Target Zone
EU-Staaten (Osteuropa)

Ereignis
Geistige Schöpfung
(wer)
Fidrmuc, Jarko
Horváth, Roman
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2007

Handle
Letzte Aktualisierung
20.09.2024, 08:24 MESZ

Datenpartner

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Fidrmuc, Jarko
  • Horváth, Roman
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2007

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