Exchange and Interest Rates prior to EMU: The Case of Greece

Arbeitspapier

Recently a variety of exchange and interest rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. While these stochastic equilibrium models in continous time are theoretically rigorous, a systematic and extensive empirical validation is still lacking. Using exchange and interest rate data collected prior to the Greek EMU-entrance on 1 January 2001 this paper tries to fill the gap between theory and real-world data. The analysis reveals that the formal models can explain many features of the Greek exchange and interest rate dynamics on the road to EMU.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: HWWA Discussion Paper ; No. 244

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Model Construction and Estimation ; International Monetary Arrangements and Institutions ; Foreign Exchange ; Interest Rates: Determination, Term Structure, and Effects
• Subject: exchange and interest rate models ; policy shifts ; economic regime switching models ; Wechselkurs ; Zins ; Volatilität ; Europäische Wirtschafts- und Währungsunion ; Wechselkurstheorie ; Stochastischer Prozeß ; Zinsparität ; Zinsstrukturtheorie ; Schätzung ; Griechenland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Antzoulatos, Angelos A. ; Wilfling, Bernd
• Event: Veröffentlichung
• (who): Hamburg Institute of International Economics (HWWA)
• (where): Hamburg
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/19216
• Last update: 10.03.2025, 11:44 AM CET