Arbeitspapier
The Euro Introduction and Non-Euro Currencies
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 05-044/4
- Klassifikation
-
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
- Thema
-
Exchange rates
multivariate GARCH
dynamic conditional correlation
structural breaks
Euro
Wechselkurs
Pfund Sterling
Französischer Franc
US-Dollar
Währungsumstellung
Strukturbruch
ARCH-Modell
Zeitreihenanalyse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van Dijk, Dick
Munandar, Haris
Hafner, Christian M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- van Dijk, Dick
- Munandar, Haris
- Hafner, Christian M.
- Tinbergen Institute
Entstanden
- 2005
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