In 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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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
7298.
Length: Date of creation: 2007 Date of revision: Publication status: Published in International Journal of Economic Perspectives 2.1(2007): pp. 74-82 Handle: RePEc:pra:mprapa:7298
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