Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26152 
Year of Publication: 
2007
Series/Report no.: 
CESifo Working Paper No. 2107
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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
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