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

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19238

Title:	Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data
Keywords:	F33 F31 C13 C22 ddc:330 Diffusion processes estimation exchange rates EMU central bank interventions Wechselkurs Wechselkurstheorie Stochastischer Prozess Dynamisches Modell Europäische Wirtschafts- und Währungsunion Schätzung Theorie Griechenland
Issue Date:	16-Oct-2013
Publisher:
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.
URI:	http://koha.mediu.edu.my:8181/xmlui/handle/10419/19238
Other Identifiers:	http://hdl.handle.net/10419/19238 ppn:383685680 RePEc:zbw:hwwadp:267
Appears in Collections:	EconStor

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