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dc.contributor.authorFrömmel, Michaelen_US
dc.date.accessioned2009-01-29T14:59:28Z-
dc.date.available2009-01-29T14:59:28Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22418-
dc.description.abstractThe volatility of exchange rates is of high importance, because it affects decisions of market participants. The choice of the exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with increasing volatility and vice versa. We investigate the exchange rate volatility of possible initial members prior to the launch of European Monetary Union (EMU). The analyses merges two approaches, the GARCH-model (Bollerslev, 1986) and the Markov Switching Model (Hamilton, 1989). We discover a switch towards a low-volatility level in the run-up to the meeting of the EU council in Brussels in May 1998. The exact date of the switch differs depending on the particular currency, but has always been taken place between the end of 1997 and March 1998, when the convergance report was released. In contrast, and after the convergance report was published there was hardly any uncertainty left in the market.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover 306en_US
dc.subject.jelF36en_US
dc.subject.jelF31en_US
dc.subject.jelE42en_US
dc.subject.ddc330en_US
dc.subject.keywordExchange rate volatilityen_US
dc.subject.keywordEuropean Monetary Unionen_US
dc.subject.keywordRegime Switching GARCHen_US
dc.titleModelling exchange rate volatility in the run-up to EMU using a Markov switching GARCH modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn483269484en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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