This study analyses the Czech, Hungarian, and Polish
currencies by examining the statistical characteristics of
the Swiss franc as well as the ECB monetary policy in order
to indicate shocks in these markets between 2002 and 2013.
The abundance of monetary easing decisions can be used as a
viable sign of market misbehaviour in addition to the low
probability of extreme exchange rate fluctuations. Indeed,
the temporal distribution of extreme currency fluctuations
provides vital information about the nature of the recent
crisis. Contagions can be defined as increased correlations
during periods of crisis, while divergence means a
significant decrease in this regard. Methodologically, common
movements in this study were calculated by using DCC-GARCH
modelling. The findings of this study underline the special
features of the Swiss franc exchange rate, notably that its
extreme fluctuations can be managed by using swap agreements
and that it tended towards divergences during the crisis era.
These results support the idea of avoiding lending in reserve
currencies.
