EconStor >
Hamburgisches Welt-Wirtschafts-Archiv (HWWA) >
HWWA Discussion Paper, Hamburgisches Welt-Wirtschafts-Archiv >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/19238
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWilfling, Bernden_US
dc.contributor.authorTrede, Marken_US
dc.date.accessioned2009-01-28T15:56:42Z-
dc.date.available2009-01-28T15:56:42Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/19238-
dc.description.abstractRecently 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesHWWA Discussion Paper 267en_US
dc.subject.jelF33en_US
dc.subject.jelF31en_US
dc.subject.jelC13en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordDiffusion processesen_US
dc.subject.keywordestimationen_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordEMUen_US
dc.subject.keywordcentral bank interventionsen_US
dc.subject.stwWechselkursen_US
dc.subject.stwWechselkurstheorieen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwDynamisches Modellen_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwSchätzungen_US
dc.subject.stwTheorieen_US
dc.subject.stwGriechenlanden_US
dc.titleEstimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Dataen_US
dc.typeWorking Paperen_US
dc.identifier.ppn383685680en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:hwwadp:267-
Appears in Collections:HWWA Discussion Paper, Hamburgisches Welt-Wirtschafts-Archiv

Files in This Item:
File Description SizeFormat
267.pdf241.6 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.