Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73869
Authors: 
Windberger, Thomas
Cuaresma, Jesus Crespo
Walde, Janette
Year of Publication: 
2012
Series/Report no.: 
Working Papers in Economics and Statistics 2012-21
Abstract: 
Obtaining reliable estimates of the volatility of interest rates and exchange rates is a necessary condition to evaluate issues related to monetary independence and fear of floating. In this paper we use methods which explicitly account for structural breaks in the volatility dynamics in order to assess monetary independence in the Czech Republic, Hungary and Poland. Our results indicate that the explicit modelling of structural breaks in volatility estimates can lead to striking differences concerning the evidence of monetary independence in Central and Eastern Europe. The results based on volatility estimates which account for regime change tend to indicate that the Czech Republic, Hungary and Poland have had a significant degree of monetary independence in the last decade.
Subjects: 
Fear of floating
monetary independence
structural break
change-point model
JEL: 
F31
C22
C11
Document Type: 
Working Paper

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