Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data

Jarko Fidrmuc and Roman Horvath

No 2107, CESifo Working Paper Series from CESifo

Abstract: We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange rate. We find that the low credibility of exchange rate management implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries.

Keywords: exchange rates; target zones; ERM II; inflation targeting; GARCH (search for similar items in EconPapers)
JEL-codes: C22 C23 F31 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp2107.pdf (application/pdf)

Related works:
Journal Article: Volatility of exchange rates in selected new EU members: Evidence from daily data (2008)
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: https://EconPapers.repec.org/RePEc:ces:ceswps:_2107

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().