Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters »
Series: IMF Working Papers
Author(s): Istvan Szekely , and Ádám Kóbor
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2004
Keywords: Markov regime-switching model, EU accession countries, probability, exchange rate, correlations, foreign exchange, probabilities, Econometric and Statistical Methods: General, General Financial Markets: General (includes Measurement and Data), Slovakia,
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-vol...