The Czech Crown's Volatility Under Modified Exchange Regimes
This paper examines the behaviour of the Czech crown's exchange rate when pegged to a currency basket. The peg is supposed to limit the overall instability of the currency. The GARCH(1,1) model with a dummy variable for the volatility response is used to account for a change in the width of the fluctuation band. The results of this paper show that volatility of the exchange rate decreased after a much wider fluctuation band was introduced to limit movements of the currency basket index. Copyright The European Bank for Reconstruction and Development, 1998.
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|Date of creation:||01 Mar 1997|
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