Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19238
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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 transitionfrom an exchange rate arrangement of floating rates into a currency union have been derived.Technically, these stochastic equilibrium models are diffusion processes whichhave to be estimated by discretely sampled observations. Using daily exchange rate dataprior to the Greek EMU-entrance in January 2001 this paper develops a rigorous estimationprocedure. The estimates provide statistical evidence of increased central bankintervention activities in the run-up to the Greek EMU entrance. Thus the modelling andestimation framework establishes an approach for detecting intervention phases in theabsence of concrete intervention data.en_US
dc.language.isoengen_US
dc.publisher|aHamburg Institute of International Economics (HWWA) |cHamburgen_US
dc.relation.ispartofseries|aHWWA Discussion Paper |x267en_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-

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