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

Angelos A. Antzoulatos and Bernd Wilfling

No 244, HWWA Discussion Papers from Hamburg Institute of International Economics (HWWA)

Abstract: 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.

Keywords: exchange and interest rate models; policy shifts; economic regime switching models (search for similar items in EconPapers)
JEL-codes: C51 C52 E43 F31 F33 (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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Working Paper: Exchange and Interest Rates prior to EMU: The Case of Greece (2003)
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