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Estimating the degree of interventionist policies in the run-up to EMU


Sondermann, David; Trede, Mark; Wilfling, Bernd


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-243024

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Abstract Based on a theoretical monetary exchange-rate model in continuous time this paper establishes a sequential estimation framework which is capable of indicating central bank intervention in the run-up to a currency union. Using daily pre-EMU exchange-rate data for the countries of the current euro zone, we find mixed evidence of active pre-EMU intervention policies (so-called institutional frontloading strategies). Our estimation framework is highly relevant to economic and political agents operating in financial markets of the upcoming EMU accession countries.
Klassifikation Europapolitik; Wirtschaftspolitik; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Exchange rates; EMU; continuous-time modeling; sequential estimation; institutional frontloading
Publikationsjahr 2009
Seitenangabe S. 207-218
Zeitschriftentitel Applied Economics, 43 (2009) 2
DOI http://dx.doi.org/10.1080/00036840802481884
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)