Estimating the Degree of Interventionist Policies in the Run-Up to EMU
26 Pages Posted: 11 Mar 2008 Last revised: 19 Sep 2008
Date Written: September 9, 2008
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.
Keywords: C13, C22, F31, F33
JEL Classification: Exchange rates, EMU, institutional frontloading
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