Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5056683 | Economic Systems | 2008 | 16 Pages |
Abstract
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries' adopted inflation targeting regime, they occasionally tried to manage their exchange rates. We find that the low credibility of exchange rate management implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Jarko Fidrmuc, Roman Horváth,