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Volatility Regimes in Central and Eastern European Countries' Exchange Rates

Michael Frömmel

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: We investigate the exchange rate volatility of six Central and Eastern European countries (CEEC) between 1994 and 2004. The analysis merges two approaches, the GARCH-model (Bollerslev 1986) and the Markov Switching Model (Hamilton 1989). We discover switches between high and low volatility regimes which are consistent with policy settings for Hungary, Poland and, less pronounced, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Slovenia, finally, shows some kind of anticipation of the wide fluctuation margins in ERM2.

Keywords: CEEC; exchange rate volatility; regime switching GARCH; Markov switching model; transition economies (search for similar items in EconPapers)
JEL-codes: E42 F31 F36 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2006-04
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-ifn, nep-mac, nep-mon and nep-tra
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http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-333.pdf (application/pdf)

Related works:
Journal Article: Volatility Regimes in Central and Eastern European Countries’ Exchange Rates (2010) Downloads
Working Paper: Volatility Regimes in Central and Eastern European Countries’ Exchange Rates (2007) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-333

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