Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs

Bask, Mikael; Fidrmuc, Jarko

doi:10.1007/s11079-008-9095-3

Cited by 6 publications

(3 citation statements)

References 45 publications

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“…We do not include any explanatory variables except for constant to equation (1), because daily exchange rates are expected to be influenced largely by news and other random events (see Bask and Fidrmuc, 2006, for the discussion of high-frequency exchange rate movements in the NMS). The constant term in equation (1), μ, shows the average rate of appreciation or depreciation.…”

Section: Garch Modelsmentioning

confidence: 99%

Volatility of exchange rates in selected new EU members: Evidence from daily data

Fidrmuc

Horváth

2008

Economic Systems

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange rate. We find that the low credibility of exchange rate management implied higher volatility of exchange rates when it substantially deviated from the implicit target rates for all countries. Finally, we find significant asymmetric effects of the volatility of exchange rates in all analyzed countries. Terms of use: Documents in EconStor mayJEL Code: F31, C22, C23.

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Section: Garch Modelsmentioning

confidence: 99%

Volatility of exchange rates in selected new EU members: Evidence from daily data

Fidrmuc

Horváth

2008

Economic Systems

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“…The Johansen test is applied to test for the existence and rank of a possible cointegration relationship between the two variables, selected (Bask and Fidrmuc, 2008).…”

Section: Resultsmentioning

confidence: 99%

Monetary policy implementation and money demand instability during the financial crisis

Kapounek¹

2014

Acta Univ. Agric. Silvic. Mendelianae Brun.

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The author focuses on the money endogeneity in the context of common monetary policy implementation in the euro area. The empirical analysis shows money demand function instability during the financial crisis. The instability is described by decrease in credit money creation and money velocity changes. The cointegration tests identifed long-run positive relationship between monetary aggregates and economic activity. Concurrently, the economic activity is treated to be weakly exogenous in the model.The conclusions are discussed with Postkeynesians’ assumption, that central banks cannot fix the stock of money in a country. The causality is directed from economic activity to money demand.

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“…where s D and s F denote the spot daily exchange rate of currency to euro and the time varying target rate (moving average of ±120 trading days), respectively. We do not include any explanatory variables except for constant to equation (1), because daily exchange rates are expected to be influenced largely by news and other random events (see Bask and Fidrmuc, 2006, for the discussion of high-frequency exchange rate movements in the NMS). The constant term in equation (1), μ, shows the average rate of appreciation or depreciation.…”

Section: Garch Modelsmentioning

confidence: 99%

Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data

Fidrmuc

Horváth

2007

SSRN Journal

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Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs

Abstract: Autoregression, Foreign exchange, Fundamental analysis, Mean reversion, Technical analysis, C32, F31, F36,

Cited by 6 publications

References 45 publications

Volatility of exchange rates in selected new EU members: Evidence from daily data

Volatility of exchange rates in selected new EU members: Evidence from daily data

Monetary policy implementation and money demand instability during the financial crisis

Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data

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