EMU and the Stability and Volatility of Exchange Rates
"Do countries that do not participate in the Economic and Monetary Union, EMU, have currencies that are less stable, and therefore more sensitive to shocks to the economy, than countries that participate in the EMU? Does a membership in the European Union, EU, make any difference for countries not included in the EMU? In order to answer these questions, the dynamics of a large number of exchange rates is investigated. The stability of a dynamical system can be described by computing the Lyapunov exponents, where the largest exponent and the sum of all exponents are of particular interest. For instance, the sum is a measure of speed of convergence of two different trajectories of the system. Hence, for a non-chaotic dissipative system, the closer the sum is to zero the more unstable the system is. Thus, the Lyapunov exponents for the exchange rates are estimated, and it is investigated whether these exponents have changed during the launch of the common European currency. Moreover, it has been claimed that a membership in the EMU will reduce the size and frequency of the shocks to the economy. Therefore, structural changes in the volatility of the exchange rates is another focus of interest.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" 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.
|Date of creation:||04 Jan 2001|
|Date of revision:|
|Contact details of provider:|| Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands|
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
Web page: http://www.fee.uva.nl/cendef/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ams:cdws01:4a.2. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.