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|z 9781451843439
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|a Szekely, Istvan.
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|a Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption :
|b Weathering Uncharted Waters /
|c Istvan Szekely, adam Kobor.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2004.
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|a 1 online resource (20 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint-Polish zloty and the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings.
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|a Mode of access: Internet
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|a Kobor, adam.
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|a IMF Working Papers; Working Paper ;
|v No. 2004/016
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2004/016/001.2004.issue-016-en.xml
|z IMF e-Library
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