Credibility of Exchange Rate Policies in Selected EU New Members: Evidence from High Frequency Data
We examine the daily exchange rate dynamics in selected EU new member states (Czech Republic, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2004. We show that these countries tried to reduce volatility of the spot exchange rate despite their official policy of free floating and inflation targeting. However, we find that the low credibility of exchange rate policy implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all new member states.
|Date of creation:||Oct 2006|
|Date of revision:||Oct 2006|
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
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.:
- Jesus Crespo-Cuaresma & Jarko Fidrmuc & Ronald MacDonald, 2005.
"The monetary approach to exchange rates in the CEECs,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 13(2), pages 395-416, 04.
- Crespo-Cuaresma, Jesús & Fidrmuc, Jarko & McDonald, Ronald, 2003. "The monetary approach to exchange rates in the CEECs," BOFIT Discussion Papers 14/2003, Bank of Finland, Institute for Economies in Transition.
- Jesús Crespo-Cuaresma & Jarko Fidrmuc & Ronald McDonald, 2004. "The monetary approach to exchange rates in the CEECs," Macroeconomics 0401013, EconWPA.
- Guillermo A. Calvo & Carmen M. Reinhart, 2000.
"Fear of Floating,"
NBER Working Papers
7993, National Bureau of Economic Research, Inc.
- Chmelarova, Viera & Schnabl, Gunther, 2006. "Exchange rate stabilization in developed and underdeveloped capital markets," Working Paper Series 0636, European Central Bank.
- Baillie, Richard T & Bollerslev, Tim, 1989.
"The Message in Daily Exchange Rates: A Conditional-Variance Tale,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 7(3), pages 297-305, July.
- Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
- Jesus Crespo Cuaresma & Balázs Égert & Ronald MacDonald, 2004. "Nonlinear Exchange Rate Dynamics in Target Zones," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-69.
- Bask , Mikael & Fidrmuc , Jarko, 2006.
"Fundamentals and technical trading: behaviour of exchange rates in the CEECs,"
Research Discussion Papers
10/2006, Bank of Finland.
- Mikael Bask & Jarko Fidrmuc, 2009. "Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs," Open Economies Review, Springer, vol. 20(5), pages 589-605, November.
- Coricelli, Fabrizio & Jazbec, Bostjan & Masten, Igor, 2006. "Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1375-1391, May.
- Paul Grauwe & Gunther Schnabl, 2005. "Nominal Versus Real Convergence - EMU Entry Scenarios for the New Member States," Kyklos, Wiley Blackwell, vol. 58(4), pages 537-555, November.
- Balazs Egert & Lubos Komarek, 2005.
"Foreign Exchange Interventions and Interest Rate Policy in the Czech Republic: Hand in Glove?,"
2005/07, Czech National Bank, Research Department.
- Egert, Balazs & Komarek, Lubos, 2006. "Foreign exchange interventions and interest rate policy in the Czech Republic: Hand in glove?," Economic Systems, Elsevier, vol. 30(2), pages 121-140, June.
When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2006_28. 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: (Lenka Herrmannova)
If references are entirely missing, you can add them using this form.