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

[journal article]

Sondermann, David; Trede, Mark; Wilfling, Bernd

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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.
Classification European Politics; Economic Policy; Economic Statistics, Econometrics, Business Informatics
Free Keywords Exchange rates; EMU; continuous-time modeling; sequential estimation; institutional frontloading
Publication Year 2009
Page/Pages p. 207-218
Journal Applied Economics, 43 (2009) 2
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)