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Czech Koruna and Polish Zloty Currency Options: Information Contnent and Eu-Accession Implications

Author

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  • Mr. Armando Méndez Morales

Abstract

Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty (negative for the Czech koruna), related to its larger exposure to external shocks. For countries in transition to Euro integration, the implied trade-off between isolation from shocks and efficient signaling must be addressed based on the risk of exchange rate misalignment at the time of monetary conversion.

Suggested Citation

  • Mr. Armando Méndez Morales, 2000. "Czech Koruna and Polish Zloty Currency Options: Information Contnent and Eu-Accession Implications," IMF Working Papers 2000/091, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2000/091
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    Cited by:

    1. Willem H. Buiter & Clemens Grafe, 2002. "Anchor, float or abandon ship: exchange rate regimes for the accession countries," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 55(221), pages 111-142.
    2. Willem Buiter & Clemens Grafe, 2001. "Banque centrale et choix de régimes de change pour les pays candidats à l’adhésion," Revue d'Économie Financière, Programme National Persée, vol. 6(1), pages 315-347.
    3. Malgorzata Sulimierska, 2008. "Capital Account Liberalization and Currency Crisis - The Case of Central Eastern European Countries," International Trade and Finance Association Conference Papers 1140, International Trade and Finance Association.
    4. Willem H. Buiter & Clemens Grafe, 2001. "Central Banking and the Choice of Currency Regime in Accession Countries," SUERF Studies, SUERF - The European Money and Finance Forum, number 11 edited by Morten Balling, May.

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