Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86523
Authors: 
van Dijk, Dick
Munandar, Haris
Hafner, Christian M.
Year of Publication: 
2005
Series/Report no.: 
Tinbergen Institute Discussion Paper 05-044/4
Abstract: 
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional correlation (DCC) models, we find that such breaks occurred both at the time the formal decision to proceed with the euro was made in December 1996 and at the time of the actual introduction of the euro in January 1999. In particular, we document that most correlations were substantially lower during the intermittent period. We also find breaks in unconditional volatilities at the same points in time, but these are of a much smaller magnitude comparatively.
Subjects: 
Exchange rates
multivariate GARCH
dynamic conditional correlation
structural breaks
JEL: 
C32
F31
F36
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
1.59 MB





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