The international integration of foreign exchange markets in the central and east European accession countries : speculative efficiency, transactions costs and exchangte rate premiums
Sabine Herrmann; Axel Jochem
A test of speculative efficiency on the foreign exchange markets of Poland, the Czech Republic, Hungary and the Slovak republic was unable to identify a cointegration relationship between forward and spot rates against the euro for the period between 1999 and mid-2002. Econometric studies confirm the existence of a time-variable exchange rate premium in all of the above countries. However, information and transaction costs also appear to be responsible for the observed deviations from speculative efficiency. The segmentation of the foreign exchange markets is likely to hamper the coordination of national monetary and foreign exchange policies within ERM II. In addition, this segmentation increases uncertainty in setting the central rate against the euro.
Year of publication: |
2003
|
---|---|
Authors: | Herrmann, Sabine ; Jochem, Axel |
Publisher: |
Frankfurt am Main : Dt. Bundesbank |
Subject: | Devisenmarkt | Foreign exchange market | Marktintegration | Market integration | Zinsparität | Interest rate parity | Währungsspekulation | Currency speculation | Wechselkurs | Exchange rate | Transaktionskosten | Transaction costs | Risikoprämie | Risk premium | Schätzung | Estimation | Polen | Poland | Tschechien | Czech Republic | Ungarn | Hungary | Slowakei | Slovakia | EU-Staaten | EU countries | Osteuropa | Eastern Europe | Integration | Europäische Union | Währungsunion |
Saved in:
freely available
Extent: | 31 S graph. Darst |
---|---|
Series: | Discussion paper / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank. - Frankfurt, M. : Dt. Bundesbank, Press and Public Relations Div., ZDB-ID 2053289-1. - Vol. 2003,8 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Zsfassung in dt. Sprache Literaturverz. S. 22 - 26 |
ISBN: | 3-935821-57-3 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001786165