Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168661
Authors: 
Stavárek, Daniel
Year of Publication: 
2009
Citation: 
[Journal:] Amfiteatru Economic Journal [ISSN:] 2247-9104 [Volume:] 11 [Year:] 2009 [Issue:] 25 [Pages:] 159-180
Abstract: 
This paper assesses the exchange rate convergence in selected euro-candidate countries using an alternative approach to official exchange rate stability convergence criterion. We apply various versions of correlation analysis on daily returns and implied GARCH volatility of nominal exchange rates of the euro, Czech koruna, Hungarian forint, Polish zloty, Romanian leu, Slovak koruna and Croatian kuna vis-à-vis US dollar. The results suggest that none of the eurocandidates' currencies achieved a sufficient degree of convergence. If anything, a majority of the currencies analyzed in the paper experienced a departure from convergence during the recent period.
Subjects: 
exchange rate
convergence
correlation
GARCH
euro-candidates
JEL: 
F31
F36
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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