On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries
AbstractIn this paper, we examine the exchange rate volatility in selected new EU Member States (Czech Republic, Hungary, Poland, Slovakia) and candidate countries (Croatia, Romania, Turkey) using TARCH model and daily data from the period May 2004 – December 2006. Besides the volatility estimation, the paper analyzes the asymmetric effects. The results suggest that some symptoms of asymmetry were found in all exchange rates except for CZK/EUR. However, the most distinct effects are evident in Slovakia and Turkey where the appreciation of the national currency and the appreciation-side deviation from the target exchange rate contribute significantly to the increase in the exchange rate volatility.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 7298.
Date of creation: 2007
Date of revision:
Publication status: Published in International Journal of Economic Perspectives 2.1(2007): pp. 74-82
asymmetry; European Union; exchange rate volatility; TARCH models;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-01 (All new papers)
- NEP-CBA-2008-03-01 (Central Banking)
- NEP-CWA-2008-03-01 (Central & Western Asia)
- NEP-IFN-2008-03-01 (International Finance)
- NEP-OPM-2008-03-01 (Open Economy Macroeconomic)
- NEP-TRA-2008-03-01 (Transition Economics)
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