Identificarea regimului cursului de schimb valutar în republica moldova

Cibotaru, Vitalie and Neumann, Rainer and Cuhal, Radu and Ungureanu, Mihai (2011): Identificarea regimului cursului de schimb valutar în republica moldova. Published in: Economie şi Sociologie , Vol. 1, (2011): pp. 15-25.

Abstract

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.

• Item Type: MPRA Paper
• English Title: Identifying the exchange rate regime in the republic of moldova
• Language: English
• Keywords: price stability, exchange rate regime, inflation, currency basket
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services

References

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Frankel, J. and D. Xie, “Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes", American Economic Review 100 (May 2010), 568-72.

International Monetary Fund, “Republic of Moldova: Financial System Stability Assessment-Update", Country Report 08274, International Monetary Fund, Washington, D.C., August 2008.

Kalman, R. E., “A New Approach to Linear Filtering and Prediction Problems", Transactions of the ASME-Journal of Basic Engineering 82 (1960), 35-45.