Exchange Rate Development and Volatility in New European Union Member States Cover Image

Exchange Rate Development and Volatility in New European Union Member States
Exchange Rate Development and Volatility in New European Union Member States

Author(s): Daniel Stavárek
Subject(s): Economy
Published by: Ekonomický ústav SAV a Prognostický ústav SAV
Keywords: exchange rates; rate of return; volatility; ERM II; exchange rate stability criterion; new EU members states

Summary/Abstract: This paper assesses exchange rate development and volatility in six new EU member states during the period November 1996 – April 2006. The development is examined by calculating various rates of return and the exchange rate volatil-ity is analyzed using moving average standard deviations of the annualized daily returns of the nominal bilateral exchange rates. The three ERM II participating currencies (SIT, CYP, SKK) entered into the mechanism at the optimal time of stable exchange rate development and low volatility. However, the admissible fluctuation band ±2.25% seems to be too narrow for the remaining three currencies (CZK, HUF, PLN). Thus, these currencies should remain out of ERM II for some time.

  • Issue Year: 54/2006
  • Issue No: 06
  • Page Range: 521-538
  • Page Count: 18
  • Language: English