Changes of exchange rate behavior during and after crisis

• Authors: Ewa Marta Syczewska
• Languages of publication: EN

Abstracts

EN

"This study extends earlier analysis, in which behavior of daily exchange rates during the global crisis was compared to that before crisis. We repeat similar comparison for data set extended until the end of April 2010, use ARMA/ARMAX and GARCH models with stock indices as additional regressors, for volatility and returns of EURPLN, EURUSD, USDPLN exchange rates. Marked increase in volatility during crisis, negatively affected quality of models. After crisis volatility and returns seem to stabilize, hence exchange rate risk seems to decline gradually. There is a slight improvement in quality of models after the crisis."

Keywords

EN

Exchange rates; stock indices; crisis; risk; autoregressive and conditional heteroskedasticity models; Granger causality

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2010
• Volume: 11
• Issue: 1
• Pages: 145-157

Dates

published

2010

Contributors

author

Ewa Marta Syczewska

• Institute of Econometrics, Warsaw School of Economics

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