search query: @author Gomez-Puig, M. / total: 2
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| Author: | Gomez-Puig, M. Montalvo, J. G. |
| Title: | A new indicator to assess the credibility of the EMS |
| Journal: | European Economic Review
1997 : AUG, VOL. 41:8, p. 1511-1535 |
| Index terms: | EUROPEAN MONETARY SYSTEM MODELS EXCHANGE RATE MECHANISM |
| Language: | eng |
| Abstract: | The paper proposes a new credibility indicator for the EMS based on the realignment expectations calculated using the inferred probabilities derived from the estimation of a Markov-switching regimes model. This indicator avoids most of the problems presented by the so-called 'drift adjusted method' and, especially it accounts, in a natural manner, for 'ex-ante' expectations instead of using 'ex-post' realignment times in order to deal with the jumps in the exchange rates. The periods of high probability of realignment match very closely the crisis of the EMS. |
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