Czech Koruna and Polish Zloty Currency Options; Information Contnent and Eu-Accession Implications
| Autor: | Armando Méndez Morales |
|---|---|
| Rok vydání: | 2000 |
| Předmět: |
Czech
European Union Euro Exchange rates Czech Koruna Exchange rate volatility Eastern Europe options integration exchange rate volatility foreign exchange equation foreign exchange market Polish Zloty Autoregressive conditional heteroskedasticity Monetary economics International economics Implied volatility language.human_language Exchange rate Currency language General Earth and Planetary Sciences media_common.cataloged_instance Business European union Volatility (finance) Foreign exchange market General Environmental Science media_common |
| Popis: | Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty (negative for the Czech koruna), related to its larger exposure to external shocks. For countries in transition to Euro integration, the implied trade-off between isolation from shocks and efficient signaling must be addressed based on the risk of exchange rate misalignment at the time of monetary conversion. |
| Databáze: | OpenAIRE |
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