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Identificarea regimului cursului de schimb valutar în republica moldova

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  • Cibotaru, Vitalie
  • Neumann, Rainer
  • Cuhal, Radu
  • Ungureanu, Mihai
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    Abstract

    It has been noted that there is an inconsistency between Moldova's monetary authorities' declared pursuit of price stability and the de facto exchange rate peg. This paper looks into the exchange rate regime of the Moldovan leu (MDL) aiming to identify the de facto regime, to test whether it can be described by a basket peg (and, if so, to determine the composition of this basket), and whether the regime has been stable over time (and, if not, to detect and date regime shifts). The methodologies used in our analysis include the celebrated Frankel-Wei regression, a Kalman filter algorithm and empirical fluctuation process. We show that MDL generally follows a peg to USD with varying implicit weight and fluctuation bands. The paper is organized as follows. Section 1 provides an insight into the exchange rate regime of Moldova by identifying the main trends and developments in its foreign exchange market. Section 2 reviews the economic literature on exchange rate regime identification. Section 3 describes the data used in the analysis. Section 4 explains the methodologies. Section 5 provides an interpretation of the results obtained. Finally, Section 6 summarizes the main findings.

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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 32232.

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    Date of creation: 2011
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    Handle: RePEc:pra:mprapa:32232

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    Keywords: price stability; exchange rate regime; inflation; currency basket;

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    1. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    2. International Monetary Fund, 2008. "Republic of Moldova," IMF Staff Country Reports 08/274, International Monetary Fund.
    3. BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
    4. Frankel, Jeffrey A. & Xie, Daniel, 2010. "Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes," Scholarly Articles 4454158, Harvard Kennedy School of Government.
    5. Benassy-Quere, Agnes & Coeure, Benoit & Mignon, Valerie, 2006. "On the identification of de facto currency pegs," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 112-127, March.
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