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Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien

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  • Herrmann, Sabine
  • Jochem, Axel

Abstract

Im Rahmen eines Tests der spekulativen Effizienz auf den Devisenmärkten Polens, der Tschechischen Repubik, Ungarns und der Slowakei kann für den Beobachtungszeitraum von 1999 bis Mitte 2002 keine Kointegrationsbeziehung zwischen Termin- und Kassakursen gegenüber dem Euro nachgewiesen werden. Ökonometrische Untersuchungen bestätigen die Existenz einer zeitvariablen Wechselkursprämie in allen genannten Ländern. Darüber hinaus scheinen aber auch Informations- und Transaktionskosten verantwortlich zu sein für die beobachteten Abweichungen von der spekulativen Effizienz. Die Segmentierung der Devisenmärkte dürfte die Koordinierung der nationalen Geld- und Währungspolitiken innerhalb des WKM II erschweren. Zusätzlich erhöht sie die Unsicherheit bei der Festlegung des Leitkurses gegenüber dem Euro.

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  • Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:4204
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    1. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.

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