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Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data

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dc.creator Wilfling, Bernd
dc.creator Trede, Mark
dc.date 2004
dc.date.accessioned 2013-10-16T07:03:47Z
dc.date.available 2013-10-16T07:03:47Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19238
dc.identifier ppn:383685680
dc.identifier RePEc:zbw:hwwadp:267
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19238
dc.description Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation framework establishes an approach for detecting intervention phases in the absence of concrete intervention data.
dc.language eng
dc.publisher
dc.relation HWWA Discussion Paper 267
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F33
dc.subject F31
dc.subject C13
dc.subject C22
dc.subject ddc:330
dc.subject Diffusion processes
dc.subject estimation
dc.subject exchange rates
dc.subject EMU
dc.subject central bank interventions
dc.subject Wechselkurs
dc.subject Wechselkurstheorie
dc.subject Stochastischer Prozess
dc.subject Dynamisches Modell
dc.subject Europäische Wirtschafts- und Währungsunion
dc.subject Schätzung
dc.subject Theorie
dc.subject Griechenland
dc.title Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data
dc.type doc-type:workingPaper


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