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| Author: | Bodart, V. Reding, P. |
| Title: | Exchange rate regime, volatility and international correlations on bond and stock markets |
| Journal: | Journal of International Money and Finance
1999 : FEB, VOL. 18:1, p. 133-152 |
| Index terms: | EXCHANGE RATES EXCHANGE RATE MECHANISM STOCK MARKETS VOLATILITY |
| Language: | eng |
| Abstract: | Focusing on the recent experience of the EMS, the paper examines the behavior of domestic daily returns on bond and stock markets with the objective of identifying whether there exist significant differences in the patterns of volatilities and international correlation between ERM and non-ERM countries and across alternative episodes of ERM exchange rate variability. The paper provides substantial evidence that a credible peg is associated with a decline in bond market volatility. |
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