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• W2004346122 abstract "Several theoretical models suggest that the mere announcement of entering a currency union in the future triggers instantaneous changes in exchange-rate volatility. First, this paper develops a Markov-switching framework by which, in fact, volatility regime-switching in foreign exchange rates can be detected for all currencies in the run-up to the European Monetary Union (EMU). Second, the paper attributes the currency-specific volatility regime-switches to decisive economic, institutional and political factors prior to EMU. All in all, the empirical results suggest that for future EMU accession countries volatility regime-switching models provide a useful tool for a broad range of financial applications (e.g. for the pricing of currency options or for the construction of EMU probability calculators)." @default.
• W2004346122 created "2016-06-24" @default.
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• W2004346122 date "2009-03-01" @default.
• W2004346122 modified "2023-09-23" @default.
• W2004346122 title "Volatility regime-switching in European exchange rates prior to monetary unification" @default.
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• W2004346122 doi "https://doi.org/10.1016/j.jimonfin.2008.08.005" @default.
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