The Interdependences Among Exchange Rates of Central European Currencies in the Light of Crisis in 2008

Agata Kliber; Paweł Kliber

doi:https://doi.org/10.59139/ps.2010.01.1

Agata Kliber Uniwersytet Ekonomiczny w Poznaniu , Paweł Kliber Uniwersytet Ekonomiczny w Poznaniu Przegląd Statystyczny. Statistical Review, vol. 57, 2010, 1, pages: 3-16 Published online: 31 March 2010 DOI https://doi.org/10.59139/ps.2010.01.1

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ARTICLE

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ABSTRACT

In the paper we try to analyze the interrelations between currencies in Central Europe during the financial crisis in 2008. In order to find out the transition mechanism of the crisis we estimate the jumps (i.e. sudden changes) in exchange rates of four currencies of the region: Polish Zloty, Hungarian Forint, Czech Crown and Slovakian Crown. We use the obtained moments of jumps as dummy variables in GARCH models for exchange rates. Then we also estimate co-jumps for pairs of analyzed currencies to check how much of the volatility is due to the common jumps. The results suggest that sudden jumps in any currency causes the changes in levels of other currencies (although not in volatility of other currencies) and that the common jumps in Polish zloty and Hungarian forint had the greatest influence.

KEYWORDS

currency crises, jump-diffusion models, volatility of exchange rates, GARCH models, realized variation

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