haku: @freeterm INTERNATIONAL PROPAGATION / yhteensä: 1
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Tekijä: | Favero, C.A. Giavazzi, F. |
Otsikko: | Is the international propagation of financial shocks non-linear? Evidence from the ERM |
Lehti: | Journal of International Economics
2002 : JUN, VOL. 57:1, p. 231-246 |
Asiasana: | ECONOMIC SHOCKS EXCHANGE RATE MECHANISM INFORMATION NON-LINEAR MODELS |
Vapaa asiasana: | INTERNATIONAL PROPAGATION |
Kieli: | eng |
Tiivistelmä: | This paper tests for the presence of non-linearities in the propagation of devaluation expectations among the countries that were members of the Exchange Mechanism of the EMS. The authors show that whenever it is possible to estimate a model for financial interdependence, a full-information technique to detect such non-linearities is more efficient than the limited-information estimator proposed, in a similar context, by Rigobon (2000). |
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