Some stylised facts about the exchange rate behaviour of Central European currencies

Jan Vejmělek

Acta Oeconomica Pragensia, 2016, vol. 2016, issue 2, 3-17

Abstract: The paper investigates developments of exchange rate time series of Central European currencies and tries to find evidence of some stylised facts. Statistical methods and an econometric approach to the univariate time series modelling of high-frequency data, i.e., daily, are used. The main conclusions are as follows: (1) All the CE nominal exchange time series are not stationary: nevertheless, stationarity of all the return time series was confirmed. (2) Volatility clustering was proven and the GARCH modelling approach was successfully applied, including asymmetric modelling of volatility. (3) The more flexible an exchange rate regime is, the more volatile the respective currency. This is true for both nominal and real exchange rates. While nominal volatility is lower than real volatility in a system of fixed or less flexible exchange rates, the opposite is true for flexible systems: exchange rate volatility is higher in nominal terms than in real terms.

Keywords: exchange rate; volatility; time series analysis; GARCH models (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.18267/j.aop.525

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