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Discussion Papers In Economics And Business. 2012, 12-10

Identifying the De Facto Exchange Rate Regime for Moldova : A State-Space Approach

Ciubotaru, Vitalie

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

text

2012-05

http://www2.econ.osaka-u.ac.jp/library/global/dp/1210.pdf

It has been noted that there is an inconsistency between the Moldovan monetary authorities'declared pursuit of price stability and the de facto exchange rate peg. This paper looksinto the exchange rate regime of the Moldovan leu (MDL) aiming to identify the defacto regime, to test whether it differes from the de jure regime stipulated by legislation,whether it can be described by a basket peg (and, if so, to determine the composition ofthis basket), and whether the regime has been stable over time. The methodology usedin our analysis is the celebrated Frankel-Wei regression, to which we apply a Kalmanfilter algorithm. We show that the MDL generally follows a peg to the US dollar withvarying implicit weight and fluctuation bands. Surprisingly, despite the large share ofeuro-denominated transactions on the Moldovan exchange market, and an even larger shareof euro-denominated assets, the euro has never exhibited any statistically signicant weight.

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Identifying the De Facto Exchange Rate Regime for Moldova : A State-Space Approach

Ciubotaru, Vitalie

Graduate School of Economics and Osaka School of International Public Policy (OSIPP), Osaka University

英語

2012-05

Discussion Papers In Economics And Business

12-10

https://hdl.handle.net/11094/14000

http://www2.econ.osaka-u.ac.jp/library/global/dp/1210.pdf