European exchange rates volatility and its asymmetrical components during the financial crisis

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230002122" target="_blank" >RIV/47813059:19520/12:#0002122 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
European exchange rates volatility and its asymmetrical components during the financial crisis
Original language description
We analyze four currencies of new EU member states, two currencies of non euro area old EU members, US dollar and Swiss franc against the euro during the period financial crisis. We apply a modified TARCH model on data grouped into four phases of the financial crises. The results suggest that the exchange rates usually shared a similar trend in volatility. The presence of asymmetric attributes of the exchange rate volatility was relatively common. Similar symptoms of asymmetry were registered mainly inthe new EU member states and Sweden. Appreciation movements seem to have significantly different effects on volatility than the depreciation movements of equal size particularly during the crisis initialization and culmination. By contrast, a significantimpact of divergence from the target exchange rate on the volatility was revealed during the crisis stabilization.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F0067" target="_blank" >GA402/08/0067: Financial Integration of the EU New Member States with Eurozone</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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