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Are the Exchange Rates of EMU Candidate Countries Anchored by their Expected Euro Locking Rates?

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Author Info

  • Anna Naszódi

    ()
    (Magyar Nemzeti Bank and Central European University)

Abstract

This paper examines whether the exchange rates of the Czech koruna, the Hungarian forint and the Polish z?oty were anchored by the market expectations for their euro locking rates in the period from December 15, 2004, to August 3, 2006. First, I derive the process of the exchange rate as a function of the processes of the following three factors: latent exchange rate, market expectations for the euro locking rate and locking date. Then the expected fi nal conversion rates are fi ltered. The time-varying volatilities of the state variables are estimated from cross-sectional data on option prices.

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File URL: http://www.oenb.at/dms/oenb/Publikationen/Volkswirtschaft/Focus-on-European-Economic-Integration/2007/Focus-on-European-Economic-Integration-Q1-07/chapters/feei_2007_1_naszodi_tcm16-58440.pdf
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Bibliographic Info

Article provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Focus on European Economic Integration.

Volume (Year): (2007)
Issue (Month): 1 ()
Pages:

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Handle: RePEc:onb:oenbfi:y:2007:i:1:b:4

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