This item still needs to be validated !
ITEM METADATA RECORD
Title: Explaining recent European exchange rate stability
Authors: De Grauwe, Paul ×
Dewachter, Hans
Veestraeten, Dirk #
Issue Date: 1999
Series Title: International finance vol:2 issue:1 pages:1-32
Abstract: In this paper we analyse the behaviour of the bilateral exchange rates that were converted into euros on 1 January 1999. Using a model of stochastic regime switching we study the effects of future conversion on current exchange-rate dynamics. We find that exchange rates are to a large extent determined by the discounted (expected) conversion value. The theoretical model is subsequently applied to the currencies that participate in the first wave of the European Monetary Union (EMU). Using a Kalman approach, we find that for most currencies the weight attached to the future conversion value was well over 95%. This pricing characteristic successfully insulated intra-European exchange rates from the turmoil generated by the ongoing crises in Asia, Russia and Latin America.
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
Department of Economics, Leuven - miscellaneous
× corresponding author
# (joint) last author

Files in This Item:
File Status SizeFormat
explainingrecent.pdf Published 1529KbAdobe PDFView/Open Request a copy

These files are only available to some KU Leuven Association staff members

 




All items in Lirias are protected by copyright, with all rights reserved.