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Czech Koruna and Polish Zloty Currency Options Information Contnent and Eu-Accession Implications

Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of t...

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Bibliographic Details
Main Author: Méndez Morales, Armando
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2000
Series:IMF Working Papers
Subjects:
Currency
Money
Banking
Currencies
Exchange Rates
Regimes
Monetary Systems
Financial Markets
Foreign Exchange
Payment Systems
Contingent Pricing
Currency Markets
Financial Aspects Of Economic Integration
Central Banks
Bank Resolution
Crisis Management
Central Banks And Their Policies
Government And The Monetary System
Crawling Peg
Finance
Finance: General
International Financial Markets
Single Equation Models
Foreign Exchange Market
Central Bank Operations
Futures Pricing
Money And Monetary Policy
Single Variables: General
Financial Institutions And Services: Government Policy And Regulation
Standards
Option Pricing
Economic & Financial Crises & Disasters
Banks And Banking
Monetary Economics
Czech Republic
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty (negative for the Czech koruna), related to its larger exposure to external shocks. For countries in transition to Euro integration, the implied trade-off between isolation from shocks and efficient signaling must be addressed based on the risk of exchange rate misalignment at the time of monetary conversion
Physical Description:36 pages
ISBN:9781451851502

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