Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26152
Authors: 
Fidrmuc, Jarko
Horváth, Roman
Year of Publication: 
2007
Series/Report no.: 
CESifo working paper 2107
Abstract: 
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange rate. We find that the low credibility of exchange rate management implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries.
JEL: 
F31
C22
C23
Document Type: 
Working Paper

Files in This Item:
File
Size
918.95 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.