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The Czech Crown's Volatility Under Modified Exchange Regimes

Author

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  • Evzen Kocenda
Abstract
This paper examines the behaviour of the Czech crown's exchange rate when pegged to a currency basket. The peg is supposed to limit the overall instability of the currency. The GARCH(1,1) model with a dummy variable for the volatility response is used to account for a change in the width of the fluctuation band. The results of this paper show that volatility of the exchange rate decreased after a much wider fluctuation band was introduced to limit movements of the currency basket index.
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Suggested Citation

  • Evzen Kocenda, 1997. "The Czech Crown's Volatility Under Modified Exchange Regimes," William Davidson Institute Working Papers Series 29, William Davidson Institute at the University of Michigan.
    • Handle: RePEc:wdi:papers:1997-29
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    File URL: http://deepblue.lib.umich.edu/bitstream/2027.42/39419/3/wp29.pdf
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    Cited by:

    1. Buch, Claudia M. & Heinrich, Ralph P. & Pierdzioch, Christian, 1998. "Taxing short-term capital flows - An option for transition economies?," Kiel Discussion Papers 321, Kiel Institute for the World Economy (IfW Kiel).

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    Keywords

    exchange rates; currency basket; GARCH; volatility; fluctuation band;
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