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2018-04-21
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このアイテムへのリンクには次のURLをご利用ください:http://hdl.handle.net/11094/14000
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
論文詳細を表示
著者版フラグ
none
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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