Stochastic Volatility Models of Exchange Rates in Central European Countries: Effects of Exchange Rate Regimes

• Autorzy: Małgorzata Doman , Ryszard Doman

Warianty tytułu

Modele zmienności stochastycznej kursów walutowych w krajach Europy Centralnej: wpływ systemu kursowego

• Języki publikacji: EN

Abstrakty

W pracy stosuje się standardowe modele SV i SVX do oceny wpływu obowiązującego systemu kursowego na dynamikę zmienności kursu walutowego. Analiza dotyczy kursów wymiany korony czeskiej, węgierskiego forinta, polskiego złotego i korony słowackiej w stosunku do amerykańskiego dolara. Uzyskane wyniki pokazują, że złagodzenie systemu kursowego może prowadzić zarówno do obniżenia poziomu zmienności kursu, jak i do zmniejszenia jej fluktuacji. W związku ze zbliżającą się akcesją wymienionych krajów do Unii Europejskiej dokonuje się również porównania dynamiki zmienności analizowanych kursów i kursu euro względem dolara.

EN

The aim of this paper is to compare the volatility level of exchange rate regimes under limited flexibility with that of unlimited one. The analysis concerns the exchange rates of Czech koruna, Slovak koruna, Hungarian forint and Polish zloty against the US dollar. The data are connected with variety of exchange rate regimes, from periodically constant exchange rate pegged to some currency basket throug limited floating (crawling band) to currency completely free to float. In proposed frame, volatility of exchange rate is understood as the conditional standard deviation of its daily return. Volatility defined in such a way is unobservable, and is estimated by means of stochastic volatility (SV) models. (crawling band) to currency completely free to float. The exchange rate regime is not the only factor deciding on the level and fluctuations of exchange volatility, but it seems interesting to find some evidence that a relaxation of the regime can give, as a result, an increase in the exchange rate stability. It seems that Czech koruna and Polish zloty exchange rates display a bahavior which is the most similar to that of euro.

Słowa kluczowe

PL

Kurs walutowy; Matematyka finansowa; Procesy stochastyczne

EN

Exchange rates; Financial mathematics; Stochastic processes

• Czasopismo: Przegląd Statystyczny
• Rocznik: 2004
• Tom: 51
• Numer: z. 4
• Strony: 37-55

Twórcy

autor

Małgorzata Doman

autor

Ryszard Doman

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