English, Article, Journal or magazine article edition: Volatility Regimes in Central and Eastern European Countries’ Exchange Rates M. FRÖMMEL

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Bookmark: http://trove.nla.gov.au/version/14622
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Volatility Regimes in Central and Eastern European Countries’ Exchange Rates
Author
  • M. FRÖMMEL
Physical Description
  • preprint
Notes
  • The choice of an exchange rate arrangement affects exchange rate volatility: higher flexibility goes ahead with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate five Central and Eastern European countries between 1994 and 2004. The analysis merges two approaches, the GARCH-model (Bollerslev 1986) and the Markov Switching- Model (Hamilton 1989). We discover switches between high and low volatility regimes consistent with policy settings for Hungary, Poland and, less pronounced, the Czech Republic, whereas Romania and Slovakia do not show a clear picture.
  • CEEC, exchange rate volatility, regime switching GARCH, Markov switching model, transition economies
  • RePEc:rug:rugwps:07/​487
Language
  • English
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