haku: @author Taylor, M. / yhteensä: 15
viite: 9 / 15
| Tekijä: | Iannizzotto, M. Taylor, M. |
| Otsikko: | The target zone model, non-linearity and mean reversion: is the honeymoon really over? |
| Lehti: | Economic Journal
1999 : MAR, VOL. 109:454, p. C96-C110 |
| Asiasana: | ECONOMICS MODELS EXCHANGE RATES |
| Kieli: | eng |
| Tiivistelmä: | The authors estimate a target zone model for three ERM exchange rates for 1983-86 and 1987-91 by the method of simulated moments, taking account of the continuous time specification by using daily data with the interruptions of holidays and weekends. Specification tests are unable to reject the model. The estimates imply, however, an essentially linear relationship between the exchange rate and the fundamentals, with a very limited "honeymoon effect". |
SCIMA