What causes exchange rate volatility? Evidence from selected EMU members and candidates for EMU membership countries

被引：24

作者：

Giannellis, Nikolaos ^{[1
]}

Papadopoulos, Athanasios P. ^{[2
]}

机构：

[1] Univ Ioannina, Dept Econ, GR-45110 Ioannina, Greece

[2] Univ Crete, Dept Econ, Rethimnon 74100, Greece

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2011年 / 30卷 / 01期

关键词：

Exchange rate volatility; Bivariate GARCH; Volatility spillover;

D O I：

10.1016/j.jimonfin.2010.07.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We allow for monetary, real, and financial variables to assess the relevant importance of each of the variables to exchange rate volatility in the case of selected EMU members and candidate countries. Ex-ante analysis shows that volatility in the Polish zloty/euro and the Hungarian forint/euro forex markets can be influenced by the monetary-side of the economy. On the other hand, ex-post analysis shows that forex markets in France, Italy and Spain had been influenced, during the pre-EMU era, by monetary and real shocks. However, the Irish pound exchange rate per ECU had been affected by only real shocks. (C) 2010 Elsevier Ltd. All rights reserved.

引用

页码：39 / 61

页数：23

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