Add to ORKGThis study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of the variant of the target zone model proposed by Bartolini and Prati (1999) and Bessec (2003), we set up a three-regime self-exciting threshold autoregressive model (SETAR) with a non-stationary central band and explicit mod-elling of the conditional variance. This modelling framework is employed to model daily DM-based and median currency-based bilateral exchange rates of countries participating in the original ERM and also for exchang
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
This paper develops an empirical model of exchange rates in a target zone. The distribution of excha...
In this paper we introduce a flexible target zone model that is capable of characterizing the dynami...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
We estimate a target zone model for three ERM exchange rates for 1983–6 and 1987–91 by the method of...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
In this paper, we present stylized facts about exchange rate fluctuations and intervention behavior ...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
Since the creation of the EMS in 1979 and the Louvre Accord in 1987, economists and policy makers ha...
Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official ta...
This dissertation deals with both theoretical and empirical issues in the target zone literature. Tw...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
This paper develops an empirical model of exchange rates in a target zone. The distribution of excha...
In this paper we introduce a flexible target zone model that is capable of characterizing the dynami...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
We estimate a target zone model for three ERM exchange rates for 1983–6 and 1987–91 by the method of...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
In this paper, we present stylized facts about exchange rate fluctuations and intervention behavior ...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
Since the creation of the EMS in 1979 and the Louvre Accord in 1987, economists and policy makers ha...
Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official ta...
This dissertation deals with both theoretical and empirical issues in the target zone literature. Tw...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
This paper develops an empirical model of exchange rates in a target zone. The distribution of excha...
In this paper we introduce a flexible target zone model that is capable of characterizing the dynami...