haku: @author Anthony, M. / yhteensä: 4
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| Tekijä: | Anthony, M. MacDonald, R. |
| Otsikko: | The width of the band and exchange rate mean-reversion: some further ERM-based results |
| Lehti: | Journal of International Money and Finance
1999 : JUN, VOL. 18:3, p. 411-428 |
| Asiasana: | EXCHANGE RATES INTERNATIONAL FINANCE |
| Kieli: | eng |
| Tiivistelmä: | One key prediction of the target zone model is that the exchange rate should be mean-reverting within the band. In this paper the authors investigate this prediction by examining the time series characteristics of seven currencies participating in the Exchange Rate Mechanism (ERM) of the European Monetary System, both immediately before and after the introduction of wide exchange rate brands in 1993. Using standard univariate unit root tests the authors find some evidence of mean reversion. |
SCIMA