Exchange Rate Dynamics and Currency Unification: The Ostmark-DM Rate
AbstractThis paper estimates a simple model of the exchange rate between the East and West German Mark immediately preceding German monetary union. Although there is a theoretical literature on exchange rate dynamics when the introduction of a fixed exchange rate is anticipated, the absence of data has limited empirical work on the subject. We show that in the first part of the sample, the DM-Ostmark exchange rate behaves as a random walk. In the second half, when monetary union appeared more likely, the exchange rate behaves as a weighted average of fundamentals and the expected "terminal" exchange rate.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 18 (1993)
Issue (Month): 3 ()
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Other versions of this item:
- Burda, Michael C & Gerlach, Stefan, 1990. "Exchange Rate Dynamics and Currency Unification: The Ostmark-DM Rate," CEPR Discussion Papers 485, C.E.P.R. Discussion Papers.
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- Anna Naszódi, 2011.
"Testing the asset pricing model of exchange rates with survey data,"
MNB Working Papers
2011/2, Magyar Nemzeti Bank (the central bank of Hungary).
- Naszodi, Anna, 2010. "Testing the asset pricing model of exchange rates with survey data," Working Paper Series 1200, European Central Bank.
- Frait, Jan & Komarek, Lubos & Meleck, Martin, 2006. "The Real Exchange Rate Misalignment in the Five Central European Countries," The Warwick Economics Research Paper Series (TWERPS) 739, University of Warwick, Department of Economics.
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Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/121689, Katholieke Universiteit Leuven.
- Hans Dewachter & Dirk Veestraeten, 2001. "Measuring convergence speed of asset prices toward a pre-announced target," Applied Financial Economics, Taylor and Francis Journals, vol. 11(6), pages 591-601.
- Hans Dewachter & Dirk Veestraeten, 1999. "Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target," Center for Economic Studies - Discussion papers ces9902, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Bronka Rzepkowski, 1997. "Impact de l'annonce de la modalité de fixation des taux de conversion des monnaies européennes," Économie et Prévision, Programme National Persée, vol. 128(2), pages 145-159.
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