About: European exchange rates volatility and its asymmetrical components during the financial crisis

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We analyze four currencies of new EU member states, two currencies of non euro area old EU members, US dollar and Swiss franc against the euro during the period financial crisis. We apply a modified TARCH model on data grouped into four phases of the financial crises. The results suggest that the exchange rates usually shared a similar trend in volatility. The presence of asymmetric attributes of the exchange rate volatility was relatively common. Similar symptoms of asymmetry were registered mainly in the new EU member states and Sweden. Appreciation movements seem to have significantly different effects on volatility than the depreciation movements of equal size particularly during the crisis initialization and culmination. By contrast, a significant impact of divergence from the target exchange rate on the volatility was revealed during the crisis stabilization. We analyze four currencies of new EU member states, two currencies of non euro area old EU members, US dollar and Swiss franc against the euro during the period financial crisis. We apply a modified TARCH model on data grouped into four phases of the financial crises. The results suggest that the exchange rates usually shared a similar trend in volatility. The presence of asymmetric attributes of the exchange rate volatility was relatively common. Similar symptoms of asymmetry were registered mainly in the new EU member states and Sweden. Appreciation movements seem to have significantly different effects on volatility than the depreciation movements of equal size particularly during the crisis initialization and culmination. By contrast, a significant impact of divergence from the target exchange rate on the volatility was revealed during the crisis stabilization. (en)
Title	European exchange rates volatility and its asymmetrical components during the financial crisis European exchange rates volatility and its asymmetrical components during the financial crisis (en)
skos:prefLabel	European exchange rates volatility and its asymmetrical components during the financial crisis European exchange rates volatility and its asymmetrical components during the financial crisis (en)
skos:notation	RIV/47813059:19520/12:#0002122!RIV13-GA0-19520___
http://linked.open...avai/predkladatel	Obchodně podnikatelská fakulta v Karviné
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GA402/08/0067)
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Stavárek, Daniel
http://linked.open.../riv/druhVysledku	C - Kapitola v knize
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Slezská univerzita v Opavě / Obchodně podnikatelská fakulta v Karviné
http://linked.open...dnocenehoVysledku	134956
http://linked.open...ai/riv/idVysledku	RIV/47813059:19520/12:#0002122
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	exchange rate volatility, asymmetry, TARCH model, financial crisis (en)
http://linked.open.../riv/klicoveSlovo	asymmetry financial crisis TARCH model exchange rate volatility
http://linked.open...ontrolniKodProRIV	[4CF0D1883BB8]
http://linked.open...i/riv/mistoVydani	Abingdon
http://linked.open...i/riv/nazevZdroje	Financial Integration in the European Union
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...v/pocetStranKnihy	264 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Financial Integration of the EU New Member States with Eurozone
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Stavárek, Daniel
number of pages	29 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Routledge
https://schema.org/isbn	978-0-415-69076-8
http://localhost/t...ganizacniJednotka	19520
is http://linked.open...avai/riv/vysledek of	European exchange rates volatility and its asymmetrical components during the financial crisis

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