haku: @indexterm Economic shocks / yhteensä: 36
viite: 21 / 36
| 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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