Detail publikace

Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries

Autor: doc. PhDr. Adam Geršl Ph.D., Jesús Crespo Cuaresma, Tomáš Slačík
Typ: IES Working Papers
Rok: 2010
Číslo: 24
Publikováno v: IES Working Papers 24/2010
Místo vydání: Prague
Klíčová slova: Options, implied volatility, risk-neutral density, exchange rate forecasting, Bayesian model averaging, subprime crisis, emerging markets
JEL kódy: C11, C32, C53, F37, G14, G17
Citace: Cuaresma, J. C., Geršl, A., Slačík, A. (2010). “Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries” IES Working Paper 24/2010. IES FSV. Charles University.
Granty: GAČR 403/10/1235 (2010-2014) Institucionální reakce na selhání finančních trhů
Abstrakt: In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk in terms of the forecasting error, confirming a stylized fact about the short-term forecasting of exchange rates. Yet, we also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of change of the exchange rate.
Ke stažení: WP 2010_24_Cuaresma, Gersl, Slacik


McKinsey & Company