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| Tekijä: | Artis, M. Taylor, M. |
| Otsikko: | The stabilizing effect of the ERM on exchange rates and interest: some nonparametric tests |
| Lehti: | Staff Papers
1994 : MAR, VOL. 41:1, p. 123-148 |
| Asiasana: | INTEREST RATES EXCHANGE RATES TESTS |
| Kieli: | eng |
| Tiivistelmä: | This paper uses nonparametric procedures to test for a shift in the volatility of nominal and real exchange rates for members and nonmembers of the ERM. The results imply a reduction in volatility for ERM members, especially during the latter half of its operation. The authors also demonstrate that this enhanced stability was not bought at the expense of increased interest rate volatility. The issue of interest rate volatility during the British pound's participation in the ERM is also examined. |
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