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Czech Koruna and Polish Zloty; Spot and Currency Option Volatility Patterns

Listed author(s):
  • Armando Méndez Morales
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    Exchange rate flexibility has facilitated an impressively fast insertion of the Czech koruna and the Polish zloty into the global currency market. However, exchange rate volatility patterns differ: Lower volatility is observed for the koruna against the euro relative to the U.S. dollar, while the opposite is true for the zloty, apparently related to earlier financial integration of the Czech Republic with Europe and early dollarization in Poland as a result of initial higher inflation rates. By contrast, the currency options market shows enhanced information content of both currencies against the euro reflected in the behavior of their implied volatility.

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    Paper provided by International Monetary Fund in its series IMF Working Papers with number 01/120.

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    Length: 30
    Date of creation: 01 Aug 2001
    Handle: RePEc:imf:imfwpa:01/120
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