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Black and official exchange rate volatility and foreign exchange controls: Evidence from Greece

Kanas, Angelos, Kouretas, Georgios P. (2001) Black and official exchange rate volatility and foreign exchange controls: Evidence from Greece. International Journal of Finance and Economics, 6 (1). pp. 13-25. ISSN 1076-9307. (doi:10.1002/ijfe.140) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1002/ijfe.140

Abstract

This paper examines the issue of volatility and capital controls to the official and black market exchange rates of the Greek Drachma using the monthly exchange rate against the US dollar for the period 1975-1993. Specifically, we apply a GARCH(1,1) model to study the behaviour of the official and black market drachma/dollar exhange rate. The main findings of the analysis are: (i) in contrast to the findings of previous studies using monthly rates, GARCH processes characterize the drachma/dollar exchange rate series in both markets; (ii) the relaxation of foreign exchange controls increased the volatility of the exchange rate in the official market as implied by theory; (iii) the persistence of volatility is reduced when account is taken of the liberalization process of capital movements; and (iv) The forecasts of volatility are improved when the GARCH forecasts are used against traditional measures. Copyright © 2001 John Wiley & Sons, Ltd.

Item Type: Article
DOI/Identification number: 10.1002/ijfe.140
Uncontrolled keywords: Black market, Capital controls, Exchange rate volatility, GARCH, black market, capital market, exchange rate, market conditions, Greece
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:07 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41171 (The current URI for this page, for reference purposes)
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