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Essays on International Economics
Stančík, Juraj ; Jurajda, Štěpán (vedoucí práce) ; Orlowski, Lucjan (oponent) ; Peter Sabirianova, Klara (oponent)
Juraj Stančík Essays on International Economics (Abstract) This dissertation focuses on various economic problems of central European countries in transition. Membership in the Economic and Monetary Union (EMU) and an inflow of foreign capital belong to the biggest challenges these countries have to face. The first essay therefore focuses on exchange-rate stability in five new members of the European Union (EU). This stability is not only a criterion for joining the EMU but also a fundamental property of stable economic de- velopment. However, there are several factors that could slow or interrupt these countries' EMU-integration process. For this reason, this essay analyzes key factors contributing to euro exchange-rate volatility in the new EU mem- bers during the period 1999-2004: economic openness, the "news" factor, and the exchange-rate regime. A TARCH (threshold autoregressive conditional heteroskedasticity) model is employed to model the volatility of exchange rates. Although this essay focuses on each country separately, in general the results suggest that economic openness has a calming effect on exchange-rate volatility, news significantly affects volatility, and flexible regimes experience higher degrees of volatility. The extent of all these effects varies substantially across countries, however. The...
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Essays on International Currency Markets
Poghosyan, Tigran ; Kočenda, Evžen (vedoucí práce) ; Orlowski, Lucjan (oponent) ; Kutan, Ali M. (oponent)
1 ABSTRACT Essays on International Currency Markets By Tigran Poghosyan This dissertation consists of three essays on foreign exchange risks in international financial markets and financial integration in the new EU member countries. The first essay focuses on the determinants of foreign exchange risks in post-transition economies. Using a unique dataset on foreign and domestic currency denominated deposit rates in Armenia, we estimate excess returns on foreign exchange operations, which are free from the impact of country risk and transaction costs. The calculated excess returns are largely positive (existence of the premium for risk) and exhibit substantial variation over time. The two-currency interdependent factor affine term structure model captures the time- variability of the risk premium and predicts that the Central Bank interventions in the foreign exchange market and ratio of volumes of foreign and domestic currency denominated deposits (proxy for external shocks) are important explanatory variables driving the premium. The GARCH-in-Mean approach supports the previous conclusion and suggests that the Central Bank interventions (policy factor) are significant for the premium on the short horizon, while deposit ratios (fundamental factor) are more influential on the long horizon. It was also found...
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Essays on International Economics
Stančík, Juraj ; Jurajda, Štěpán (vedoucí práce) ; Orlowski, Lucjan (oponent) ; Peter Sabirianova, Klara (oponent)
Juraj Stančík Essays on International Economics (Abstract) This dissertation focuses on various economic problems of central European countries in transition. Membership in the Economic and Monetary Union (EMU) and an inflow of foreign capital belong to the biggest challenges these countries have to face. The first essay therefore focuses on exchange-rate stability in five new members of the European Union (EU). This stability is not only a criterion for joining the EMU but also a fundamental property of stable economic de- velopment. However, there are several factors that could slow or interrupt these countries' EMU-integration process. For this reason, this essay analyzes key factors contributing to euro exchange-rate volatility in the new EU mem- bers during the period 1999-2004: economic openness, the "news" factor, and the exchange-rate regime. A TARCH (threshold autoregressive conditional heteroskedasticity) model is employed to model the volatility of exchange rates. Although this essay focuses on each country separately, in general the results suggest that economic openness has a calming effect on exchange-rate volatility, news significantly affects volatility, and flexible regimes experience higher degrees of volatility. The extent of all these effects varies substantially across countries, however. The...
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