Essays on the empirics of transition [Elektronische Ressource] / vorgelegt von Katerina Kalcheva

Essays on the Empirics of TransitionInauguraldissertationzur Erlangung des GradesDoctor oeconomiae publicae (Dr. oec. publ.)an der Ludwig-Maximilians-Universitt M nchen2005vorgelegt vonKaterina KalchevaReferent: Prof. Stefan Mittnik, PhDKorreferent: Prof. Dr. Ulrich WoitekPromotionsabschlussberatung: 08. Februar 2006äContentsList of Tables iList of Figures iiAcknowledgement iiiIntroduction 1I ERM II Participation and Euro Adoption 41Cost-BenefitAnalysis 51.1Introduction................................. 51.2ExchangeRateMechanismII... 71.3 ReviewoftheTheoreticalLiterature.......... 101.4 The BeneÞtsoftheMonetaryUnion......... 121.5MonetaryRegimesandShockExposure......... 141.6TypesofShocksandChannelsofMonetaryTransmission........ 181.7TheoreticalModel.............................. 201.8StructuralVARAnalysis...... 231.8.1 Results.. 261.9BayesianVARAnalysis........................... 271.10Conclusion.............. 30II Monetary Credibility of the Euro zone Candidates 322 An Application of a Regime-Switching Autoregressive Model 331CONTENTS 22.1Introduction................................. 32.2ExistingTheoreticalLiterature.. 352.2.1 ModelsofCredibility.... 352.2.2 InstitutionsandCredibility.................... 382.2.3 MonetaryPolicyRules inCentralandEasternEuropeanCountries 402.3MarkovRegime-SwitchingVARModel......... 422.3.1 Data................................. 42.3.2 EmpiricalResults...... 462.4Conclusion....