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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

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

The trade and FDI effects of EMU enlargement

Brouwer, Jelle Hindriks; 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

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

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

Cambodia's persistent dollarization : causes and policy options

Menon, Jayant - 2008

Cambodia's economic and social achievements over the past ten years have been the most impressive in its history. Nevertheless, Cambodia today is still as dollarized, if not more so, than it was ten years ago. What is this so, and what, if anything, should the Government do? This paper attempts...

Persistent link: https://www.econbiz.de/10011282131

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

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

Global trade flows : revisiting the exchange rate elasticities

Bussière, Matthieu; Gaulier, Guillaume; Steingress, Walter - 2017

This paper contributes to the debate on the magnitude of exchange rate elasticities by providing a set of price and quantity elasticities for 51 advanced and emerging-market economies. Specifically, for each of these countries we report the elasticity of trade prices and trade quantities on both...

Persistent link: https://www.econbiz.de/10011777959

Exchange rates, target zones and international trade : the importance of the policy making framework

Weber, Axel A. - 1993

Stylized empirical facts about the correlation between the volume of international trade and exchange rate variability/uncertainty are at odds with the predictions of the simple open economy model. The present paper argues that this puzzle may be explained by drawing on the recent theoretical...

Persistent link: https://www.econbiz.de/10011615388