Detail publikace

Dynamika měnových kurzů v nových členských zemích EU

Autor: prof. Roman Horváth Ph.D., Jarko Fidrmuc
Typ: Kapitoly v knize
Rok: 2006
ISSN / ISBN: ISBN: 1-84718-020-5
Publikováno v: Poloucek and Stavarek (eds.): The Financial Sector in the Enlarging European Union, Cambridge Scholars Press
Místo vydání: Cambridge Scholars Press, UK
Klíčová slova:
JEL kódy:
Abstrakt: We examine the daily exchange rate dynamics in selected CEECs (Czech Republic, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2004. We show that these countries tried to reduce volatility of the spot exchange rate despite their official policy of free floating and inflation targeting. However, we find that the low credibility of exchange rate policy implied higher volatility of exchange rates when it approached the edge of its implicit target band around the long-run equilibrium exchange rates in the Czech Republic and Poland. In turn, Slovakia has been more successful in reducing the volatility of exchange rates. Finally, we find significant asymmetric effects of the volatility of exchange rates in all CEECs.


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