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| Author: | Anthony, M. MacDonald, R. |
| Title: | On the mean-reverting properties of target zone exchange rates: Some evidence from the ERM |
| Journal: | European Economic Review
1998 : SEP, VOL. 42:8, p. 1493-1523 |
| Index terms: | EXCHANGE RATES EUROPEAN MONETARY SYSTEM STATISTICAL METHODS |
| Language: | eng |
| Abstract: | The paper focuces on the mean-reverting properties of target zone exchange rates, emphasizing on currencies involved in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS). In the paper, reference is made to the key elements of the European monetary integration process. There are statistical methods used to test mean-reverting properties of ERM exchange rates. |
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