文章基本信息

标题：The Volatility of Romanian Exchange Rate: A GARCH Approach
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作者：Elena Pelinescu ; Delia-Elena Diaconasu
期刊名称：Review of Economics & Finance
印刷版ISSN：1923-7529
电子版ISSN：1923-8401
出版年度：2015
卷号：5
期号：4
语种：English
出版社：Academic Research Centre of Canada
摘要：The perspective of Romania adopting the Euro in year 2019 increases the interest of decision-makers and researchers regarding the volatility of the Romanian exchange rate. In this context, the aim of our paper is to analyze the means in which the economic crisis determines mutations in the features of the exchange rate variations in Romania during the period January 1st, 2007–March 16th, 2015. We employ non-parametric and parametric volatility measures, namely the rolling-sample volatility and the GARCH models in order to identify the national versus international macroeconomic determinants of exchange rate fluctuations. Our results generally support that, in both pre- and post-structural break periods, the main driver of the volatility of EUR/RON is the foreign exchange rate, followed by the international interest rate. However, there is a relevant difference between the two analyzed periods: the influence of the RON/ZLP exchange rate.
关键词：Macroeconomic variables;Structural break;Rolling-sample volatility;GARCH models;Emerging market