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Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
Wilfling, Bernd; Trede, Mark - 2004
processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …
Persistent link: https://www.econbiz.de/10010295399
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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using … daily data for the time prior to Stage III of EMU. Statistical inference yields the dates at which financial markets began … to incorporate the expected EMU participation of each country into currency pricing. The data exhibits strong econometric …
Persistent link: https://www.econbiz.de/10010295594
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The trade and FDI effects of EMU enlargement
Brouwer, Jelle; Paap, Richard; Viaene, Jean-Marie - 2007
European Monetary Union (EMU) to the 10 countries that obtained EU membership in 2004. One-way and two-way error component …. Using a simulation-based technique, we find that estimates of FDI effects of EMU range between 18.5% for Poland and 30% for …
Persistent link: https://www.econbiz.de/10011372974
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Exchange rate variability inside and outside the EMU
Bergbom, Lennart - 1998
An often heard view is that exchange rate variability will decrease for a country that joins the EMU. This is not …
Persistent link: https://www.econbiz.de/10011589019
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China's dominance hypothesis and the emergence of a tri-polar global currency system
Fratzscher, Marcel; Mehl, Arnaud - 2011
This paper assesses whether the international monetary system is already tripolar and centred around the US dollar, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s “dominance hypothesis”, i.e. whether the renminbi is already the dominant currency in Asia,...
Persistent link: https://www.econbiz.de/10011605438
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Foreign exchange interventions : the long and the short of it
Alexander, Patrick; Alpanda, Sami; Kabaca, Serdar - 2022 - Last updated: June 6, 2022
This paper studies the effects of foreign exchange (FX) interventions in a two-region New Keynesian model where governments issue both short-term and long-term bonds. Imperfect substitutability between bonds gives rise to portfolio balance effects that make FX interventions effective....
Persistent link: https://www.econbiz.de/10013252982
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Exports and the exchange rate : a general equilibrium perspective
Alexander, Patrick; Reza, Abeer - 2022 - Last updated: April 4, 2022
Understanding and predicting the evolution of exports after a change in the nominal exchange rate is of central importance in international economics. Most of the literature focuses on estimating this relationship by reduced form, with the aim of uncovering a single structural parameter, but...
Persistent link: https://www.econbiz.de/10013172465
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias - 2019
Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we...
Persistent link: https://www.econbiz.de/10012232128
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An intermediation-based model of exchange rates
Malamud, Semyon; Schrimpf, Andreas - 2018 - This version: June 5, 2018
We develop a general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents for providing access to foreign claims. The behavior of intermediaries, by tilting state prices, breaks monetary neutrality...
Persistent link: https://www.econbiz.de/10011877302
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Detection of implicit fluctuation bands and their credibility in EU candidate countries
Sosvilla-Rivero, Simón; Ramos-Herrera, María del Carmen - In: Baltic journal of economics 15 (2015) 1, pp. 18-37
This paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest...
Persistent link: https://www.econbiz.de/10011890541