Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22445
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dc.contributor.authorFrömmel, Michaelen_US
dc.date.accessioned2009-01-29T14:59:42Z-
dc.date.available2009-01-29T14:59:42Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/22445-
dc.description.abstractThe choice of an exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate the exchange rate volatility of six Central and Eastern European countries (CEEC) 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 which are consistent with policy settings for Hungary, Poland and, less pronounced, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Slovenia, finally, shows some kind of anticipation of the wide fluctuation margins in ERM2.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiskussionspapiere des Fachbereichs Wirtschaftswissenschaften, Universität Hannover |x333en_US
dc.subject.jelF36en_US
dc.subject.jelF31en_US
dc.subject.jelE42en_US
dc.subject.ddc330en_US
dc.subject.keywordCEECen_US
dc.subject.keywordexchange rate volatilityen_US
dc.subject.keywordregime switching GARCHen_US
dc.subject.keywordMarkov switching modelen_US
dc.subject.keywordtransition economiesen_US
dc.titleVolatility Regimes in Central and Eastern European Countries? Exchange Ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn51147170Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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