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dc.contributor.authorFrömmel, Michaelen
dc.date.accessioned2009-01-29T14:59:28Z-
dc.date.available2009-01-29T14:59:28Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aUniversität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x306en
dc.subject.jelF36en
dc.subject.jelF31en
dc.subject.jelE42en
dc.subject.ddc330en
dc.subject.keywordExchange rate volatilityen
dc.subject.keywordEuropean Monetary Unionen
dc.subject.keywordRegime Switching GARCHen
dc.titleModelling exchange rate volatility in the run-up to EMU using a Markov switching GARCH model-
dc.typeWorking Paperen
dc.identifier.ppn483269484en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-306en

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