Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83599
Authors: 
Naszódi, Anna
Year of Publication: 
2008
Series/Report no.: 
MNB Working Papers 2008/1
Abstract: 
This paper tests whether the exchange rates of the Czech koruna, the Hungarian forint, and the Polish zloty were anchored by market expectations concerning their euro locking rates. First, the process of the exchange rate is derived as a function of the following factors: (i) latent exchange rate, (ii) market expectations concerning locking rate, (iii) market expectations concerning locking date. Then, the locking dates and rates are filtered from historical exchange rates, currency option prices and yield curves. The main finding of the paper is that the relatively stable market expectations concerning the locking rates have substantially stabilized the three analyzed exchange rates.
Subjects: 
monetary union
eurozone entry
factor model
Kalman filter
exchange rate stabilization
asset-pricing exchange rate model
JEL: 
F31
F36
G13
Document Type: 
Working Paper

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