Advanced Search
MyIDEAS: Login to save this paper or follow this series

Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien

Contents:

Author Info

  • Herrmann, Sabine
  • Jochem, Axel

Abstract

Im Rahmen eines Tests der spekulativen Effizienz auf den Devisenmärkten Polens, der Tschechischen Repubik, Ungarns und der Slowakei kann für den Beobachtungszeitraum von 1999 bis Mitte 2002 keine Kointegrationsbeziehung zwischen Termin- und Kassakursen gegenüber dem Euro nachgewiesen werden. Ökonometrische Untersuchungen bestätigen die Existenz einer zeitvariablen Wechselkursprämie in allen genannten Ländern. Darüber hinaus scheinen aber auch Informations- und Transaktionskosten verantwortlich zu sein für die beobachteten Abweichungen von der spekulativen Effizienz. Die Segmentierung der Devisenmärkte dürfte die Koordinierung der nationalen Geld- und Währungspolitiken innerhalb des WKM II erschweren. Zusätzlich erhöht sie die Unsicherheit bei der Festlegung des Leitkurses gegenüber dem Euro. -- A test of speculative efficiency on the foreign exchange markets of Poland, the Czech Republic, Hungary and the Slovak republic was unable to identify a cointegration relationship between forward and spot rates against the euro for the period between 1999 and mid-2002. Econometric studies confirm the existence of a time-variable exchange rate premium in all of the above countries. However, information and transaction costs also appear to be responsible for the observed deviations from speculative efficiency. The segmentation of the foreign exchange markets is likely to hamper the coordination of national monetary and foreign exchange policies within ERM II. In addition, this segmentation increases uncertainty in setting the central rate against the euro.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://econstor.eu/bitstream/10419/19595/1/200308dkp_d.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2003,08.

as in new window
Length:
Date of creation: 2003
Date of revision:
Handle: RePEc:zbw:bubdp1:4204

Contact details of provider:
Postal: Postfach 10 06 02, 60006 Frankfurt
Phone: 0 69 / 95 66 - 34 55
Fax: 0 69 / 95 66 30 77
Email:
Web page: http://www.bundesbank.de/
More information through EDIRC

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Alexius, Annika & Sellin, Peter, 1999. "A Latent Factor Model of European Exchange Rate Risk Premia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 4(3), pages 217-27, July.
  2. Jeffrey A. Frankel and Alan T. MacArthur., 1987. "Political vs. Currency Premia in International Real Interest Differentials: A Study of Forward Rates for 24 Countries," Economics Working Papers, University of California at Berkeley 8762, University of California at Berkeley.
  3. Cumby, Robert E & Obstfeld, Maurice, 1981. "A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis," Journal of Finance, American Finance Association, American Finance Association, vol. 36(3), pages 697-703, June.
  4. Michael Mussa & Morris Goldstein, 1993. "The integration of world capital markets," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, Federal Reserve Bank of Kansas City, pages 245-330.
  5. Kenneth A. Froot and Jeffrey A. Frankel., 1988. "Forward Discount Bias: Is It an Exchange Risk Premium?," Economics Working Papers, University of California at Berkeley 8874, University of California at Berkeley.
  6. 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.
  7. Schardax, Franz & Reininger, Thomas & Summer, Martin, 2001. "The Financial System in the Czech Republic, Hungary and Poland after a Decade of Transition," Discussion Paper Series 1: Economic Studies 2001,16, Deutsche Bundesbank, Research Centre.
  8. Christine Jiang & Thomas Chiang, 2000. "Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(1), pages 95-104.
  9. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, Elsevier, vol. 19(1-2), pages 47-66, August.
  10. Obstfeld, Maurice, 1986. "Capital mobility in the world economy: Theory and measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 24(1), pages 55-103, January.
  11. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series, European Central Bank 0048, European Central Bank.
  12. Claudia M. Buch & Jörg Döpke, 1999. "Real and Financial Integration in Europe � Evidence for the Accession States and for the Pre-Ins," Kiel Working Papers 917, Kiel Institute for the World Economy.
  13. Wolff, Christian C, 1987. "Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 189, C.E.P.R. Discussion Papers.
  14. Sosvilla-Rivero, Simon & Park, Young B., 1992. "Further tests on the forward exchange rate unbiasedness hypothesis," Economics Letters, Elsevier, Elsevier, vol. 40(3), pages 325-331, November.
  15. Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, Elsevier, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729 Elsevier.
  16. Norrbin, Stefan C. & Reffett, Kevin L., 1996. "Exogeneity and forward rate unbiasedness," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(2), pages 267-274, April.
  17. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 8(1), pages 75-88, March.
  18. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  19. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(2), pages 279-297, April.
  20. Lemmen, J.J.G. & Eijffinger, S.C.W., 1996. "The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials," Open Access publications from Tilburg University urn:nbn:nl:ui:12-73026, Tilburg University.
  21. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre.
  22. Fischer, Christoph, 2002. "Real currency appreciation in accession countries: Balassa-Samuelson and investment demand," Discussion Paper Series 1: Economic Studies 2002,19, Deutsche Bundesbank, Research Centre.
  23. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, Elsevier, vol. 3(2), pages 123-192, June.
  24. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(3), pages 335-359.
  25. Robert J. Hodrick & Sanjay Srivastava, 1985. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc.
  26. Barnhart, Scott W. & Szakmary, Andrew C., 1991. "Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co-Integration, and Stochastic Coefficients," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 26(02), pages 245-267, June.
  27. McCulloch, J Huston, 1975. "Operational Aspects of the Siegel Paradox: Comment," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 89(1), pages 170-72, February.
  28. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc.
  29. Frederick Nieuwland & Willem Verschoor & Christian Wolff, 2000. "Exchange risk premia in the European monetary system," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(4), pages 351-360.
  30. Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, Elsevier, vol. 5(2), pages 135-152, June.
  31. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  32. Chiang, Thomas C., 1991. "International asset pricing and equity market risk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(3), pages 349-364, September.
  33. Naka, Atsuyuki & Whitney, Gerald, 1995. "The unbiased forward rate hypothesis re-examined," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(6), pages 857-867, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank, Research Centre.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp1:4204. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.