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Assessment of the exchange rate convergence in Euro-candidate countries

  • Daniel Stavárek

    ()

    (Silesian University in Opava School of Business Administration in Karviná Czech Republic)

This paper assesses the exchange rate convergence in selected euro-candidate countries using an alternative approach to official exchange rate stability convergence criterion. We apply various versions of correlation analysis on daily returns and implied GARCH volatility of nominal exchange rates of the euro, Czech koruna, Hungarian forint, Polish zloty, Romanian leu, Slovak koruna and Croatian kuna vis-à-vis US dollar. The results suggest that none of the eurocandidates' currencies achieved a sufficient degree of convergence. If anything, a majority of the currencies analyzed in the paper experienced a departure from convergence during the recent period.

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Article provided by Academy of Economic Studies - Bucharest, Romania in its journal The AMFITEATRU ECONOMIC journal.

Volume (Year): 11 (2009)
Issue (Month): 25 (February)
Pages: 159-180

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Handle: RePEc:aes:amfeco:v:11:y:2009:i:25:p:159-180
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  1. Jarko Fidrmuc & Roman Horváth, 2007. "Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data," CESifo Working Paper Series 2107, CESifo Group Munich.
  2. Nikkinen, Jussi & Sahlstrom, Petri & Vahamaa, Sami, 2006. "Implied volatility linkages among major European currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 87-103, April.
  3. Zsolt Darvas & György Szapáry, 2008. "Euro Area Enlargement and Euro Adoption Strategies," Working Papers 0801, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  4. André Van Poeck & Jacques Vanneste & Maret Veiner, 2007. "Exchange Rate Regimes and Exchange Market Pressure in the New EU Member States," Journal of Common Market Studies, Wiley Blackwell, vol. 45, pages 459-485, 06.
  5. Zlatuše Komárková & Luboš Komárek, 2007. "Integration of the foreign exchange markets of the selected EU new member states," Politická ekonomie, University of Economics, Prague, vol. 2007(3).
  6. Castrén, Olli & Mazzotta, Stefano, 2005. "Foreign exchange option and returns based correlation forecasts: evaluation and two applications," Working Paper Series 0447, European Central Bank.
  7. Oxana Babetskaia-Kukharchuk & Ian Babetskii & Jiri Podpiera, 2008. "Convergence in exchange rates: market's view on CE-4 joining EMU," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 385-390.
  8. Frommel, Michael & Schobert, Franziska, 2006. "Exchange rate regimes in Central and East European countries: Deeds vs. words," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 467-483, September.
  9. Ignazio Angeloni & Michael Flad & Francesco Paolo Mongelli, 2007. "Monetary Integration of the New EU Member States: What Sets the Pace of Euro Adoption?," Journal of Common Market Studies, Wiley Blackwell, vol. 45, pages 367-409, 06.
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