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Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption :, Weathering Uncharted Waters, Istvan Szekely, Ádám Kóbor

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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
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. METHODOLOGY""; ""III. EMPIRICAL RESULTS""; ""IV. POLICY IMPLICATIONS""; ""REFERENCES""; ""APPENDIX I. ESTIMATION OF REGIME-SWITCHING MODELS""; ""APPENDIX II. DETAILED ESTIMATION RESULTS""
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (20 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462304684

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