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dc.contributor.authorWilfling, Bernden
dc.contributor.authorTrede, Marken
dc.date.accessioned2009-01-28T15:56:42Z-
dc.date.available2009-01-28T15:56:42Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aHamburg Institute of International Economics (HWWA) |cHamburgen
dc.relation.ispartofseries|aHWWA Discussion Paper |x267en
dc.subject.jelF33en
dc.subject.jelF31en
dc.subject.jelC13en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordDiffusion processesen
dc.subject.keywordestimationen
dc.subject.keywordexchange ratesen
dc.subject.keywordEMUen
dc.subject.keywordcentral bank interventionsen
dc.subject.stwWechselkursen
dc.subject.stwWechselkurstheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwDynamisches Modellen
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwSchätzungen
dc.subject.stwTheorieen
dc.subject.stwGriechenlanden
dc.titleEstimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data-
dc.typeWorking Paperen
dc.identifier.ppn383685680en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:hwwadp:267en

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