| Description |
1 online resource (20 pages) : illustrations, tables |
| Series |
IMF Working Paper ; WP/04/16 |
|
IMF working paper ; WP/04/16.
|
| Summary |
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 |
| Bibliography |
Includes bibliographical references |
| Notes |
Description based on online resource; title from PDF cover (ebrary, viewed June 27, 2015) |
| Subject |
Foreign exchange market.
|
|
Euro.
|
|
Currency question -- Poland
|
|
Currency question
|
|
Euro
|
|
Foreign exchange market
|
|
Poland
|
| Form |
Electronic book
|
| Author |
Székely, István P., 1959-
|
| ISBN |
9781451843439 |
|
1451843437 |
|
9781451891362 |
|
1451891369 |
|
