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Exchange rate in transition

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  • Kocenda, Evzen

Abstract

In this book several econometrics techniques are used to perform quantitative research of the exchange rate in transition. This is an empirical work based on related economic theory. While the stress is put on the exchange rate of the Czech koruna, the subject is analyzed from a broader perspective of other transition countries as well.

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File URL: http://mpra.ub.uni-muenchen.de/32030/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 32030.

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Date of creation: 1998
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Handle: RePEc:pra:mprapa:32030

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Related research

Keywords: exchange rate; time series; econometrics; Central Europe; transition;

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References

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  1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1749-78, December.
  2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  3. Evžen Kočenda, 1996. "Volatility of a Seemingly Fixed Exchange Rate," Eastern European Economics, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 34(6), pages 37-67, December.
  4. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  5. Ben-David, D., 1995. "Trade and Convergence Among Countries," Papers, Tel Aviv 35-95, Tel Aviv.
  6. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 60-68, January.
  7. Elmar B. Koch, 1997. "Exchange Rates and Monetary Policy in Central Europe - a Survey of Some Issues," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 24, Oesterreichische Nationalbank (Austrian Central Bank).
  8. Svensson, Lars E O, 1994. "Fixed Exchange Rates as a Means to Price Stability: What Have We Learned?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 872, C.E.P.R. Discussion Papers.
  9. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 19(2), pages 217-248, May.
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  11. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 36, pages 394.
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  14. Hasan, Shahriar & Wallace, Myles, 1996. "Real exchange rate volatility and exchange rate regimes: Evidence from long-term data," Economics Letters, Elsevier, Elsevier, vol. 52(1), pages 67-73, July.
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  16. Thornton, Daniel L & Batten, Dallas S, 1985. "Lag-Length Selection and Tests of Granger Causality between Money and Income," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 17(2), pages 164-78, May.
  17. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 21(2), pages 161-194, February.
  18. Kocenda, Evzen & Papell, David H, 1997. "Inflation Convergence within the European Union: A Panel Data Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 2(3), pages 189-98, July.
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  20. Friedman, Daniel & Vandersteel, Stoddard, 1982. "Short-run fluctuations in foreign exchange rates : Evidence from the data 1973-1979," Journal of International Economics, Elsevier, Elsevier, vol. 13(1-2), pages 171-186, August.
  21. Bollerslev, Tim & Engle, Robert F, 1993. "Common Persistence in Conditional Variances," Econometrica, Econometric Society, Econometric Society, vol. 61(1), pages 167-86, January.
  22. Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(3), pages 339-68, July.
  23. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  24. Evžen Kočenda, 1998. "Discrepancy between Exchange Rate Regime and Monetary Policy," Politická ekonomie, University of Economics, Prague, University of Economics, Prague, vol. 1998(5).
  25. Lucio Sarno, 1997. "Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(5), pages 591-605.
  26. Milhoj, Anders, 1987. "A Conditional Variance Model for Daily Deviations of an Exchange Rate," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(1), pages 99-103, January.
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Cited by:
  1. Juraj Valachy, 2002. "Price Setting in Transition: The Effect of Takeover on a Petroleum Firm," CERGE-EI Working Papers wp197, The Center for Economic Research and Graduate Education - Economic Institute, Prague.

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