Abstract:We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes volatility was to a large extent driven by surprises. Degree of persistence in exchange rate volatility is high, differs with respect to currency, but stays at a similar level under the floating regime. Asymmetric news effect tends to decrease volatility under the float. Interest differential contemporaneously impacts exchange rate volatility under either regime, while the interest differential intertemporal effect is not found. Accordingly we draw policy implications.
This paper analyzes development of the ownership structures in Czech voucher-privatized firms during 1996 -1999. The period can be characterized by increasing ownership concentration uniformly across all categories of owners with exception of banks. Within frequent changes uncovered by cluster analysis, higher ownership concentration was found to preserve itself. In general, investment funds and portfolio companies recorded the highest average concentration increase. Industrial companies and individual owners were found to be the most stable type of owner. Sector perspective shows that while in 1996 the firms do not exhibit excessive differences among sector specific attributes with respect to the proportion of stake held, in 1999 they do.
Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyze 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 volatilities in the currencies of both groups under specific exchange rate regimes using two different approaches to modeling 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. We consider the results as robust and suitable for policy making decisions.
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