Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Weathering Uncharted Waters

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters
The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of... READ MORE...

Publication date: January 2004
ISBN 9781451843439
$15.00

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