Interdependencies among Central European Curencies

Interdependencies among Central European Curencies

In the book the author investigates relationships among three Central European currencies: Czech crown, Hungarian forint and Polish zloty over the period of 1 O years. Based upon the relationships the strength of linkages among the Central European economies is measured and ił is checked whether they broke up or - on contrary - became even stronger during the 2008/2009 financial crisis. Ił is also verified whether the currencies in Central Europe can infect themselves with crises or is ił rather the influence of the euro area that plays the prominent role. In order to measure the strength of the relationships among the currencies, the author concentrates on the exchange rates volatility and its spillovers. The methods of volatility modeling are presented and the concepts of volatility transmission and financial contagion are discussed. The book may be of interest to investors on the foreign exchange market, authorities dealing with monetary policy, as well as students of disciplines connected with financial econometrics or financial engineering.