Economics at your fingertips  

The Volatility of Romanian Exchange Rate: A GARCH Approach

Elena Pelinescu and Delia-Elena Diacona?u ()
Additional contact information
Delia-Elena Diacona?u: Faculty of Economics and Business Administration, ¡°Alexandru Ioan Cuza¡± University of Ia?i 22 Carol I Boulevard, Ia?i, 700505, ROMANIA

Authors registered in the RePEc Author Service: Delia Elena Diaconaşu ()

Review of Economics & Finance, 2015, vol. 5, 92-99

Abstract: The perspective of Romania adopting the Euro in year 2019 increases the interest of decision-makers and researchers regarding the volatility of the Romanian exchange rate. In this context, the aim of our paper is to analyze the means in which the economic crisis determines mutations in the features of the exchange rate variations in Romania during the period January 1st, 2007¨CMarch 16th, 2015. We employ non-parametric and parametric volatility measures, namely the rolling-sample volatility and the GARCH models in order to identify the national versus international macroeconomic determinants of exchange rate fluctuations. Our results generally support that, in both pre- and post-structural break periods, the main driver of the volatility of EUR/RON is the foreign exchange rate, followed by the international interest rate. However, there is a relevant difference between the two analyzed periods: the influence of the RON/ZLP exchange rate.

Keywords: Macroeconomic variables; Structural break; Rolling-sample volatility; GARCH models; Emerging market (search for similar items in EconPapers)
JEL-codes: E44 G01 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
17 Alton Towers Circle, Unit 101 Toronto, ON, M1V3L8, Canada

Access Statistics for this article

Review of Economics & Finance is currently edited by H. Carlson

More articles in Review of Economics & Finance from Better Advances Press, Canada 17 Alton Towers Circle, Unit 101 Toronto, ON, M1V3L8, Canada.
Bibliographic data for series maintained by Carlson ().

Page updated 2018-06-13
Handle: RePEc:bap:journl:150406