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| Author: | Hallett, A. H. Lanthony, M. |
| Title: | Exchange rate behaviour under the EMS regime: was there any systematic change? |
| Journal: | Journal of International Money and Finance
1997 : AUG, Vol. 16:4, p. 537-560 |
| Index terms: | EXCHANGE RATES EUROPEAN MONETARY SYSTEM EUROPEAN UNION |
| Language: | eng |
| Abstract: | Most empirical studies fail to detect any systematic effects of the EMS regime on the economic performance of memeber countries. This reveals the difficulty of constructing controlled experiments which can distinguish what is due to the EMS, from that due to common external pressures. We argue that the crucial step is to examine the exchange rates' distribution, since no performance improvements will appear if exchange rate behaviour does not change within the EMS. We find that there are changes in the third and fourth moments which imply that EMS currencies have become more fragile and susceptible to shocks (particularly negative shocks) relative to non-EMS currencies. |
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