Czech Koruna and Polish Zloty Currency Options: Information Contnent and Eu-Accession Implications
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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.
Series:
Working Paper No. 2000/091
Subject:
Bank resolution Central bank operations Central banks Crawling peg Currencies Currency markets Exchange rates Financial markets Foreign exchange Money
English
Publication Date:
June 1, 2000
ISBN/ISSN:
9781451851502/1018-5941
Stock No:
WPIEA0912000
Pages:
36
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