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Common Volatility Trends in the Central and Eastern European Currencies and the Euro
Author:
Mr. Marcus Pramor
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and
Ms. Natalia T. Tamirisa
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Series:
IMF Working Papers
Volume/Issue:
Volume 2006: Issue 206
Language:
English
Publication Date:
01 Sep 2006
DOI:
https://doi.org/10.5089/9781451864663.001
ISBN:
9781451864663
ISSN:
1018-5941
Pages:
31
Keywords:
WP; CEE currency; Polish zloty; currency; exchange rate; volatility; GARCH; convergence; Central Europe; volatility spillover; series consist; CEE economy; Italian lira; CEE country; Currencies; Exchange rates; Currency markets; Spillovers; Monetary unions; Eastern Europe
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic and financial structures of these economies. Nonetheless, the degree of commonality remains weaker than what had been found for major European currencies before the introduction of the euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the Hungarian forint, which remains a source of volatility shocks to regional currencies.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund