Expected and Predicted Realignments: The FF/DM Exchange Rate during the EMS
1991 (English)Report (Other academic)
An empirical model of time-varying realignment risk in an exchange rate target zone is developed. Expected rates of devaluation are estimated as the difference between interest rate differentials and estimated expected rates of depreciation within the exchange rate band, using French Franc/Deutsche Mark data during the European Monetary System. The behavior of estimated expected rates of depreciation accord well with the theoretical model of Bertola-Svensson (1990). We are also able to predict actial realignments with some success.
Place, publisher, year, edition, pages
Stockholm: IIES , 1991. , 41 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 485
exchange rate, target zone, realignment, devaluation, European Monetary System
IdentifiersURN: urn:nbn:se:su:diva-41791OAI: oai:DiVA.org:su-41791DiVA: diva2:337753