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In the paper three series of daily growth rates (of PLN/USD, PLN/EUR and EUR/USD over a period: 02.01.2002 -31.12.2004) are used to investigate the effect of the Forex market on the Polish exchange rates. In modelling of the official daily PLN/USD and PLN/EUR exchange rates the relationship: (PLN/USD)/(PLN/EUR) ~ EUR/USD is introduced. We assume that this relation (in log terms) is a cointegration equation in the sense of Engle and Granger and that the EUR/USD exchange rate is weakly exogenous in the Bayesian sense (for inferences on the parameters and on the latent variables, which describe two Polish exchange rates). Under this assumption we build five models with the error correction mechanism (ECM) and with the disturbances, which follow bivariate SV processes. The stochastic volatility processes differ in assumptions on the conditional correlation and in the number of latent processes. The best model assumes that the conditional correlation is time-varying, stochastic, and that the conditional covariance matrix is described by three separate stochastic processes. We show that the presence of the EUR/USD exchange rate and of the ECM term has serious effect on the Polish exchange rates. It reduces volatility and leads to increase in the posterior mean of the conditional correlations.
This paper assesses the exchange rate development and the volatility in six new EU member states during the period November 1996 - April 2006. The development is examined by the calculating various rates of return. The exchange rate volatility is analyzed by using the moving average standard deviations of the annualized daily returns of the nominal bilateral exchange rates. The three ERM II participating currencies (SIT, CYP, SKK) entered into the mechanism at the optimal time of stable exchange rate development and low volatility. However, the admissible fluctuation band ±2.25% seems to be too narrow for the remaining three currencies (CZK, HUF, PLN). Thus, these currencies should remain out of ERM II for some time.
Content available remote Influence of regulations on exchange rates behaviour - an econometric analysis
The authoress studies behaviour of several daily exchange rates, published by the NBP, for period January 4th 1993-January 31st 2005. The aim is to check whether such major events as changes in exchange rate regimes, switch to floating rate, regulation changes concerning freedom of entrance of the EU financial institutions, and, last but not least, the EU accession would show as significant in econometric analyses. She uses tools ranging from visual inspection of the spectrum of a series, through the Granger causality tests to the formal regression tests. Explanatory variables for the squared logarithmic returns are: series of the main interest rate, of the devaluation rates, and dummy variables. She compares also ratios of the average squared logarithmic returns in periods before and after moments of the regulation changes. She shows that for most events, the change of regulation lead to increase of volatility; not all regulations were significant for all the currencies. The EU accession seems to diminish volatility of returns.
We investigate the developments of output volatility and competitiveness during the recent global recession using a unique firm-level database. The database combines Slovak balance sheet and trade data with results of a qualitative questionnaire survey on the firm competitiveness. The results of our quantitative analysis show that younger, less export oriented and more productive firms with comparative advantage weathered the crisis better. In addition, we find that highly efficient leadership, professional management and strong orientation on cost reduction helped firms to recover from the crisis and reach higher than the pre-crisis level of competitiveness within a short time period since the outset of the crisis.
The paper deals with the question of party system change in the Czech Republic since the 2010 parliamentary elections. Although at least since the mid-1990s the Czech party system was considered to be one of the most stable party systems in the CEE countries, since the 2010 elections the Czech party system has been undergoing major transformation of its format and structure, mainly because of a drastic change of voter behaviour in the 2010 and 2013 parliamentary elections.
Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyse 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 volatility in the currencies of both groups under specific exchange rate regimes using two different approaches to modelling 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.
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