search query: @author Campa, J. / total: 7
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| Author: | Campa, J. Chang, K. |
| Title: | Arbitrage-based tests of target-zone credibility: evidence from ERM cross-rate options |
| Journal: | American Economic Review
1996 : SEP, VOL. 86:4, p. 726-740 |
| Index terms: | ECONOMICS OPTIONS USA |
| Language: | eng |
| Abstract: | This paper introduces two arbitrage-based tests of target zone credibility using a new data source, ERM cross-rate options. Using daily option prices from September 1991 to August 1994, the authors assess the credibility of the pound-mark and mark-lira target zones that collapsed in September 1992, and the ongoing mark-French franc target zone. These tests are based on restrictions that must apply to all option prices within a credible target zone, and are free from specification error and estimation error. |
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