01777cas a2200253 a 4500 AALejournalIMF002843 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451843439 1018-5941 BD-DhAAL BD-DhAAL Szekely, Istvan. Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters / Istvan Szekely, adam Kobor. Washington, D.C. : International Monetary Fund, 2004. 1 online resource (20 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint-Polish zloty and the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings. Mode of access: Internet Kobor, adam. IMF Working Papers; Working Paper ; No. 2004/016 Full text available on IMF http://elibrary.imf.org/view/journals/001/2004/016/001.2004.issue-016-en.xml IMF e-Library