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Swiss Franc from the Croatian Perspective

Author

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  • Mile Bošnjak

    (Department of International Economics, Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia)

Abstract

In Croatia and other countries of Central and Eastern Europe, as a consequence of deep financial integration and abolition of capital controls, considerable loans to households indexed to the Swiss franc have emerged. Although all of researchers of the Swiss franc do not agree entirely on whether the Swiss franc is a safe haven currency, its property of continuous appreciation is commonly accepted. There was a continuous appreciation of the Swiss franc over the Croatian kuna. This paper examines the performance of several ARCH-based models for Swiss franc against the Croatian kuna on daily data sets within time period from 1997 to 2010. Evaluating the models through standard information criteria Component ARCH (1,1) is found to be the best-fitting model.

Suggested Citation

  • Mile Bošnjak, 2018. "Swiss Franc from the Croatian Perspective," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(3), pages 41-56.
    • Handle: RePEc:cbk:journl:v:7:y:2018:i:3:p:41-56
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Swiss franc; asymmetric GARCH; exchange rate; Croatia;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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