The seminar will be held in the Visitor Centre at 3 pm.
Discussant: Attila CSajbók
Abstract
This paper tests whether the exchange rate of the Czech koruna, the Hungarian forint, and the Polish zloty were anchored by the market expectations concerning the euro-locking rate in the period of 15.Dec.2004.–3.Aug.2006. First, I derive the process of the exchange rate as a function of the processes of the factors, namely the latent exchange rate and the market expectation concerning both the euro-locking rate and the time of locking. Then I filter the expected final conversion rate. The time-varying volatilities of the state variables are estimated from cross-sectional data on option prices.