The Euro Introduction and Non-Euro Currencies

Arbeitspapier

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in January 1999. In particular, we document that most correlations were substantially lower during the intermittent period. We also find breaks in unconditional volatilities at the same points in time, but these are of a much smaller magnitude comparatively.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 05-044/4

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Foreign Exchange ; Financial Aspects of Economic Integration ; International Financial Markets
• Subject: Exchange rates ; multivariate GARCH ; dynamic conditional correlation ; structural breaks ; Euro ; Wechselkurs ; Pfund Sterling ; Französischer Franc ; US-Dollar ; Währungsumstellung ; Strukturbruch ; ARCH-Modell ; Zeitreihenanalyse

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): van Dijk, Dick ; Munandar, Haris ; Hafner, Christian M.
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/86523
• Last update: 10.03.2025, 11:44 AM CET