부산대학교 도서관

This paper represents an attempt to model movements of the exchange rate between the US dollar and Greek drachma. A structural model is set up, and then a reduced-form error correction (EC) specification is derived. On the basis of co-integration tests, the results do not support the existence of a long-run equilibrium relationship between the exchange rate and price differential. Furthermore, the instrumental variable estimation of the EC model indicates that the monetary authorities have pursued a short-run anti-inflationary exchange rate policy that appreciates the exchange rate in the presence of wage inflation as an attempt to mitigate the depreciating pressures on the domestic currency and thus to ease the adjustment required on Greek producers.
The aim of this paper is to model movements of the exchange rate between the US dollar and Greek drachma over the period 1975.I-1987.IV during which a managed-float regime was adopted. A sticky price monetary model which allows for one-period wage contracts and an exchange rate reaction function of monetary authorities is set up, and then a reduced-form error correction (EC) specification is derived that relates the change in the exchange rate to changes in the lagged exchange rate, the price differential, the real income, the interest rate, the real money supply and the real wage as well as the lagged deviation from the purchasing power parity (PPP). [ABSTRACT FROM AUTHOR]