The Co-movement Between Returns of Foreign Exchange Rates in the Central European Countries

Małgorzata Doman ()
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Małgorzata Doman: Poznań University of Economics, Poland

Chapter 10 in Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, 2005, vol. 192, pp 157-175 from University of Lodz

Abstract: The analysis of conditional correlations between returns of foreign exchange rates gives us significant information about co-movement between different currency markets. In the paper, we model this kind of dependency in the case of currency markets in Central European countries using Engle’s DCC models. We investigate the changes in the level of conditional correlations during stability and crisis periods. In this context we try to find the evidence of the contagion effect in the considered region.

Keywords: Currency market; Co-movement; Dynamic correlations; Exchange rates; Contagion (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2005:n:192:ch:10:foe

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