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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

C - Kapitola v odborné knize

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F08%2F0067" target="_blank" >GA402/08/0067: Finanční integrace nových členských zemí EU s eurozónou</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Financial Integration in the European Union

ISBN

978-0-415-69076-8

Počet stran výsledku

29

Strana od-do

160-188

Počet stran knihy

264

Název nakladatele

Routledge

Místo vydání

Abingdon

Kód UT WoS kapitoly

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