Exchange Rate Dynamics and Currency Unification: The Ostmark-DM Rate
AbstractThis paper studies the exchange rate between the East and West German mark in the period before German monetary union. We show that standard exchange rate theory contains strong predictions about the dynamics of the exchange rate under these circumstances, and we use state-space methods to estimate key parameters of the model. A random-walk model gives a good fit to the first half of the data, during which it was unclear that monetary union would occur. In the second half, when union was expected, the Ostmark rate behaves as a weighted average of fundamentals and the expected terminal exchange rate.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 485.
Date of creation: Dec 1990
Date of revision:
Contact details of provider:
Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
Other versions of this item:
- Burda, Michael & Gerlach, Stefan, 1993. "Exchange Rate Dynamics and Currency Unification: The Ostmark-DM Rate," Empirical Economics, Springer, vol. 18(3), pages 417-29.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- 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.
- Dewachter, Hans & Veestraeten, Dirk, 1999. "Measuring convergence speed of asset prices toward a pre-announced taget," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/121689, Katholieke Universiteit Leuven.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.