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The euro and pound volatility dynamics: An investigation from conditional jump process

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  • Wan, Jer-Yuh
  • Kao, Chung-Wei
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    Abstract

    This paper investigates the variations of the volatility of euro and pound after the introduction of euro. A GARJI model is employed to analyze the impact of the news arrivals on the exchange rate volatility. The results are robust to the data-splitting schemes and indicate: (1) the conditional variance of euro is larger than that of pound. (2) The stability of euro exchange rates has made progress in recent years, which is accomplished by the decreases in the jump innovations. This paper supports the arguments on the determinants of exchange rate stability claimed by Mundell (1998) and Mussa (2000).

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    Bibliographic Info

    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 22 (2008)
    Issue (Month): 2 (June)
    Pages: 193-207

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    Handle: RePEc:eee:riibaf:v:22:y:2008:i:2:p:193-207

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    Web page: http://www.elsevier.com/locate/ribaf

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