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What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries

  • Nikolaos Giannellis

    ()

    (Department of Economics, University of Crete, Greece)

  • Athanasios Papadopoulos

    ()

    (Department of Economics, University of Crete, Greece)

We allow for monetary, real, and financial variables to assess the relevant importance of each of the variables to exchange rate volatility in the case of selected EMU members and candidate countries. Ex-ante analysis shows that volatility in the Polish zloty/euro and the Hungarian forint/euro forex markets can be influenced by the monetary side of the economy. On the other hand, ex-post analysis shows that forex markets in France, Italy and Spain had been influenced, during the pre-EMU era, by monetary and real shocks. However, the Irish pound exchange rate per ECU had been affected by only real shocks.

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Paper provided by University of Crete, Department of Economics in its series Working Papers with number 1004.

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Length: 67 pages
Date of creation: 14 Jan 2009
Date of revision: 08 Jan 2010
Handle: RePEc:crt:wpaper:1004
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