Greek exchange rate behaviour following German and US monetary policy shifts

Nikiforos Laopodis

Global Business and Economics Review, 2002, vol. 4, issue 2, 325-345

Abstract: The paper examines the stochastic behaviour and the volatility patterns of the Greek drachma against the German mark and the US dollar in response to shifts in the monetary stances of Germany and the US. The methodological design is the GARCH specification. The results strongly suggest that switches in the targets of the monetary authorities in Germany, before and after its unification, have exerted a significant impact on the conditional variance of the drachma/mark exchange rate, whereas a change in the US's monetary policy had, initially, an important but a gradually declining effect on the drachma/dollar rate. Moreover, after Germany's reunification, there was a noticeable influence on the exchange rate, a result consistent with the period during which Greece implemented drastic changes in its financial markets as it prepared for full induction in the European Monetary Union.

Keywords: Greece; exchange rates; monetary policy; Greek drachma; German mark; United States dollar; stochastic behaviour; volatility; German reunification; Germany; financial markets. (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:4:y:2002:i:2:p:325-345

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