Resource title

Volatility Regimes in Central and Eastern European Countries? Exchange Rates

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Resource description

The choice of an exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate the exchange rate volatility of six Central and Eastern European countries (CEEC) between 1994 and 2004. The analysis merges two approaches, the GARCH-model (Bollerslev 1986) and the Markov Switching Model (Hamilton 1989). We discover switches between high and low volatility regimes which are consistent with policy settings for Hungary, Poland and, less pronounced, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Slovenia, finally, shows some kind of anticipation of the wide fluctuation margins in ERM2.

Resource author

Michael Frömmel

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22445

Resource license

Adapt according to the presented license agreement and reference the original author.