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Exchange Rate Volatility in a Target Zone : The Czech Experience

Stadtmann, Georg; Funke, Katja - 2002

to a refined estimation technique, it becomes apparent that an increase rather than a decline in volatility has taken …This paper analyzes the effects of changes in the Czech exchange rate mechanism on the volatility of the Czech spot … exchange rate. While related studies draw the conclusion that exchange rate volatility decreased after the widening of the …

Persistent link: https://www.econbiz.de/10014119355

Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015

Lera, Sandro Claudio; Sornette, Didier - 2015

conditional volatility and density distribution close to the target zone limit, we present clear and direct evidence that the …

Persistent link: https://www.econbiz.de/10011411918

Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015

Lera, Sandro Claudio; Sornette, Didier - In: Journal of international money and finance 63 (2016), pp. 28-47

Persistent link: https://www.econbiz.de/10011668340

The Swiss franc's honeymoon

Studer-Suter, Rahel; Janssen, Alexandra - 2014

To counter the sharp appreciation of the Swiss franc that set in in the wake of the European sovereign debt crisis, on September 6, 2011, the Swiss National Bank announced to enforce a minimum EUR/CHF exchange rate of CHF 1.20. We find that the simple, though elegant model for the exchange rate...

Persistent link: https://www.econbiz.de/10010402676

The Swiss franc's honeymoon

Janssen, Alexandra; Studer, Rahel - 2017 - Revised version, January 2017

Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants of the Swiss franc during the lower bound regime from September 2011 to January 2015. We describe the Swiss franc as a function of global market risk fundamentals and find that...

Persistent link: https://www.econbiz.de/10011590470

Volatility regimes in Central and Eastern European countries' exchange rates

Frömmel, Michael (contributor) - 2006

The choice of an exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead … with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate the exchange rate volatility of six …-model (Bollerslev 1986) and the Markov Switching Model (Hamilton 1989). We discover switches between high and low volatility regimes …

Persistent link: https://www.econbiz.de/10003315429

Detection of implicit fluctuation bands and their credibility in EU candidate countries

Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen - In: Baltic journal of economics 15 (2015) 1, pp. 18-37

This paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest...

Persistent link: https://www.econbiz.de/10011890541

"Wait and see" or "fear of floating"?

Lei, Xiaowen; Lu, Dong; Kasa, Kenneth - In: Macroeconomic dynamics 26 (2022) 4, pp. 833-884

Persistent link: https://www.econbiz.de/10013270219

Interest rate policy and inflation behaviour in the Czech Republic : from exchange rate to inflation targeting

Girardin, Eric; Horsewood, Nicholas - In: Financial and monetary integration in the new Europe : …, (pp. 79-104). 2001

Persistent link: https://www.econbiz.de/10001654634

Foreign exchange interventions under a one-sided target zone regime and the Swiss franc

Hertrich, Markus - 2020

From September 2011 to January 2015, the Swiss National Bank (SNB) implemented a minimum exchange rate regime (i.e. a one-sided target zone) vis-a-vis the euro to fight deflationary pressures in the aftermath of the Great Financial Crisis. During this period of unconventional monetary policy,...

Persistent link: https://www.econbiz.de/10012197889