Assessment of the exchange rate convergence in Euro-candidate countries

Daniel Stavarek

The AMFITEATRU ECONOMIC journal, 2009, vol. 11, issue 25, 159-180

Abstract: This paper assesses the exchange rate convergence in selected euro-candidate countries using an alternative approach to official exchange rate stability convergence criterion. We apply various versions of correlation analysis on daily returns and implied GARCH volatility of nominal exchange rates of the euro, Czech koruna, Hungarian forint, Polish zloty, Romanian leu, Slovak koruna and Croatian kuna vis-à-vis US dollar. The results suggest that none of the eurocandidates' currencies achieved a sufficient degree of convergence. If anything, a majority of the currencies analyzed in the paper experienced a departure from convergence during the recent period.

Keywords: exchange rate; convergence; correlation; GARCH; euro-candidates (search for similar items in EconPapers)
JEL-codes: F31 F36 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:aes:amfeco:v:11:y:2009:i:25:p:159-180

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