Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
1991 (English)Report (Other academic)
Abstract [en]

The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since expected rates of depreciation within the band are usually of about the same magnitude as interest rate differentials.

Place, publisher, year, edition, pages
Stockholm: IIES , 1991. , 37 p.
Series
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 493
Keyword [en]
exchange rate, target zone, realignment, devaluation, European Monetary System, unit root, mean reversion
National Category
Economics
Identifiers
URN: urn:nbn:se:su:diva-41799OAI: oai:DiVA.org:su-41799DiVA: diva2:337789
Available from: 2010-08-09 Created: 2010-08-09 Last updated: 2010-08-09Bibliographically approved

Open Access in DiVA

fulltext(5318 kB)47 downloads
File information
File name FULLTEXT01.pdfFile size 5318 kBChecksum SHA-512
32b01e86bac443fed506fde55a9b012fa1148d7b50a1a342f78b0a9293dae28d6279adcdf2d0618ee0add64a7a7b6329eabbb12b504da2d1b72f2355bb5fb910
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Svensson, Lars E.O.
By organisation
Institute for International Economic Studies
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 47 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 43 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf