IDEAS home Printed from https://ideas.repec.org/a/ekn/ekonom/v3y1999i1p41-54.html
   My bibliography  Save this article

Analyzing Devaluation Fears in an Emerging Forward Exchange Market: Greece During 1992

Author

Listed:
  • Sarantis C. Kalyvitis

    (Athens University of Economics and Business, Greece)

  • Nicos V. Karamouzis

    (University of Piraeus and National Bank of Greece, Greece)

Abstract

The present paper focuses on the assessment of devaluation expectations in Greek forward exchange market during the turbulent year 1992. We describe the institutional changes underwent in the Greek forward exchange market in its transition from capital controls to a liberalized regime during the period from January 1992 when the forward market begun to operate until September 1992 when the market collapsed under the pressure of EMS crisis. We develop a simple model for the assessment of collapse expectations of a forward exchange market: the government announces a target depreciation rate but this is not fully credible to the market and, therefore, agents attach a probability of a discrete exchange rate shift to their forward contracts. Finally, we obtain time-varying estimates of the collapse probabilities as implied by the theoretical model, which seem to vary whenever an event likely to affect the policy course occurs. Collapse expectations peak prior to the September 1992 EMS crisis which led to the suspension of transactions in the Greek forward exchange market.

Suggested Citation

  • Sarantis C. Kalyvitis & Nicos V. Karamouzis, 1999. "Analyzing Devaluation Fears in an Emerging Forward Exchange Market: Greece During 1992," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 3(1), pages 41-54, summer.
  • Handle: RePEc:ekn:ekonom:v:3:y:1999:i:1:p:41-54
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ekn:ekonom:v:3:y:1999:i:1:p:41-54. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Managing Editor). General contact details of provider: http://edirc.repec.org/data/cyessea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.