Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19216
Authors: 
Antzoulatos, Angelos A.
Wilfling, Bernd
Year of Publication: 
2003
Series/Report no.: 
HWWA Discussion Paper 244
Abstract: 
Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continous time are theoretically rigorous, a systematic and extensive empirical validation is still lacking. Using exchange and interest rate data collected prior to the Greek EMU-entrance on 1 January 2001 this paper tries to fill the gap between theory and real-world data. The analysis reveals that the formal models can explain many features of the Greek exchange and interest rate dynamics on the road to EMU.
Subjects: 
exchange and interest rate models
policy shifts
economic regime switching models
JEL: 
C52
C51
F33
F31
E43
Document Type: 
Working Paper

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