@techreport{Wilfling2004Estimating,
abstract = {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.},
author = {Bernd Wilfling and Mark Trede},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {F33; F31; C13; C22; 330; Diffusion processes; estimation; exchange rates; EMU; central bank interventions; Wechselkurs; Wechselkurstheorie; Stochastischer Prozess; Dynamisches Modell; Europ\"{a}ische Wirtschafts- und W\"{a}hrungsunion; Sch\"{a}tzung; Theorie; Griechenland},
language = {eng},
number = {267},
title = {Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data},
type = {HWWA Discussion Paper},
url = {http://hdl.handle.net/10419/19238},
year = {2004}
}
