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REŽIMY MENOVÉHO KURZU A VOLATILITA: POROVNANIE VYBRANÝCH KRAJÍN ERM A VYŠEHRADSKEJ SKUPINY

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Valachy J., Kočenda E.
Ekonomický časopis (Journal of Economics)
|
2005
|
vol. 53
|
issue 2
144-160
EN
Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyse recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a selected group of European Union countries (the Snake) participating in the former European Monetary System. We compare volatility in the currencies of both groups under specific exchange rate regimes using two different approaches to modelling exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the Snake countries exhibits mixed results for two currencies and a concurring result for the others: a decrease in volatility. In one case we are left with an insignificant coefficient.
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