کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5092650 | 1375946 | 2006 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rate volatility and regime change: A Visegrad comparison
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We analyze exchange rate volatility in the Visegrad Four countries during the period in which they abandoned tight regimes for more flexible ones. We account for path dependency, asymmetric shocks, and movements in interest rates. In addition, we allow for a generalized error distribution. The overall findings are that path-dependent volatility has a limited effect on exchange rate developments and that the introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes, volatility was mainly driven by surprises. Asymmetric effects of news tend to decrease volatility under the floating regime. Interest differentials impact exchange rate volatility contemporaneously under either regime, although we find no intertemporal effect of interest differentials. Journal of Comparative Economics34 (4) (2006) 727-753.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Comparative Economics - Volume 34, Issue 4, December 2006, Pages 727-753
Journal: Journal of Comparative Economics - Volume 34, Issue 4, December 2006, Pages 727-753
نویسندگان
Evžen KoÄenda, Juraj Valachy,