کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964830 | 930626 | 2009 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility regime-switching in European exchange rates prior to monetary unification
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Several theoretical models suggest that the mere announcement of entering a currency union in the future triggers instantaneous changes in exchange-rate volatility. First, this paper develops a Markov-switching framework by which, in fact, volatility regime-switching in foreign exchange rates can be detected for all currencies in the run-up to the European Monetary Union (EMU). Second, the paper attributes the currency-specific volatility regime-switches to decisive economic, institutional and political factors prior to EMU. All in all, the empirical results suggest that for future EMU accession countries volatility regime-switching models provide a useful tool for a broad range of financial applications (e.g. for the pricing of currency options or for the construction of EMU probability calculators).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 240-270
Journal: Journal of International Money and Finance - Volume 28, Issue 2, March 2009, Pages 240-270
نویسندگان
Bernd Wilfling,