Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption [electronic resource] : Weathering Uncharted Waters / Istvan P Szekely.
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TextSeries: IMF Working Papers; Working Paper ; No. 04/16Publication details: Washington, D.C. : International Monetary Fund, 2004Description: 1 online resource (20 p.)ISBN: 1451843437 :ISSN: 1018-5941Subject(s): Correlations | Econometric and Statistical Methods: General | Eu Accession Countries | Exchange Rate | Foreign Exchange | General Financial Markets: General (Includes Measurement and Data) | Hungary | Poland | Slovak Republic | SlovakiaAdditional physical formats: Print Version:: Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted WatersOnline resources: IMF e-Library | IMF Book Store Abstract: The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint-Polish zloty and the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings.
The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint-Polish zloty and the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings.
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