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

Ciubotaru, Vitalie

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論文情報

タイトル	Identifying the De Facto Exchange Rate Regime for Moldova : A State-Space Approach
著者	Ciubotaru, Vitalie Ciubotaru, Vitalie
キーワード等	Exchange Rate Regime
	Moldovan Leu
	Frankel-Wei Regression
	Kalman Filter
	Empirical Fluctuation Process
抄録	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.
公開者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
掲載誌名	Discussion Papers In Economics And Business
巻	12-10
刊行年月	2012-05
URL	http://hdl.handle.net/11094/14000
関連情報 (references)	http://www2.econ.osaka-u.ac.jp/library/global/dp/1210.pdf
言語	英語

著者版フラグ	none
NII資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business.12-10
DC.title	Identifying the De Facto Exchange Rate Regime for Moldova : A State-Space Approach
DC.creator	Ciubotaru, Vitalie
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2012-05
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/14000
DC.subject	Exchange Rate Regime
	Moldovan Leu
	Frankel-Wei Regression
	Kalman Filter
	Empirical Fluctuation Process
DCTERMS.abstract	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.
citation_title	Identifying the De Facto Exchange Rate Regime for Moldova : A State-Space Approach
citation_author	Ciubotaru, Vitalie
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
citation_language	英語
citation_date	2012-05
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	12-10
citation_public_url	http://hdl.handle.net/11094/14000
citation_keywords	Exchange Rate Regime
	Moldovan Leu
	Frankel-Wei Regression
	Kalman Filter
	Empirical Fluctuation Process

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