Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22445 
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dc.contributor.authorFrömmel, Michaelen
dc.date.accessioned2009-01-29T14:59:42Z-
dc.date.available2009-01-29T14:59:42Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aUniversität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x333en
dc.subject.jelF36en
dc.subject.jelF31en
dc.subject.jelE42en
dc.subject.ddc330en
dc.subject.keywordCEECen
dc.subject.keywordexchange rate volatilityen
dc.subject.keywordregime switching GARCHen
dc.subject.keywordMarkov switching modelen
dc.subject.keywordtransition economiesen
dc.titleVolatility Regimes in Central and Eastern European Countries? Exchange Rates-
dc.typeWorking Paperen
dc.identifier.ppn51147170Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-333en

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