Identificarea regimului cursului de schimb valutar în republica moldova
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.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- International Monetary Fund, 2008. "Republic of Moldova; Financial System Stability Assessment: Update," IMF Staff Country Reports 08/274, International Monetary Fund.
- Jushan Bai & Pierre Perron, 2003.
"Computation and analysis of multiple structural change models,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- Tom Doan, . "RATS programs to replicate examples of Bai-Perron procedure," Statistical Software Components RTZ00008, Boston College Department of Economics.
- Tom Doan, . "MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis," Statistical Software Components RTS00138, Boston College Department of Economics.
- Tom Doan, . "BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes," Statistical Software Components RTS00013, Boston College Department of Economics.
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques.
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997.
"Leading indicators of currency crises,"
Policy Research Working Paper Series
1852, The World Bank.
- Frankel, Jeffrey A. & Xie, Daniel, 2010.
"Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes,"
4454158, Harvard Kennedy School of Government.
- Jeffrey Frankel & Daniel Xie, 2010. "Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes," American Economic Review, American Economic Association, vol. 100(2), pages 568-72, May.
- Jeffrey A. Frankel & Daniel Xie, 2009. "Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes," NBER Working Papers 15620, National Bureau of Economic Research, Inc.
- Jeffrey Frankel & Daniel, 2010. "Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes," Working Paper Series WP10-1, Peterson Institute for International Economics.
- Frankel, Jeffrey & Xie, Daniel, 2010. "Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes," Working Paper Series rwp10-003, Harvard University, John F. Kennedy School of Government.
- 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.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:32232. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.