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Exchange Risk in the EMS: Some Evidence Based on a GARCH Model

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  • Hassapis, Christis

Abstract

The paper attempts to detect any changes in the exchange risk as measured by the conditional variance of exchange rate changes before and after foundation of the EMS. The analysis is based on estimation of an econometric model in which the conditional variance is allowed to follow an autoregressive pattern. The results indicate a significant decrease in the volatility of the conditional variance and the risk premium for the EMS countries over the EMS period. No such changes are detected for the non-EMS countries. Copyright 1995 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Suggested Citation

  • Hassapis, Christis, 1995. "Exchange Risk in the EMS: Some Evidence Based on a GARCH Model," Bulletin of Economic Research, Wiley Blackwell, vol. 47(4), pages 295-303, October.
    • Handle: RePEc:bla:buecrs:v:47:y:1995:i:4:p:295-303
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    Cited by:

    1. Hong G. Min & McDonald, Judith A., 1999. "Does a thin foreign exchange market lead to destabilizing capital-market speculation in the Asian Crisis countries?," Policy Research Working Paper Series 2056, The World Bank.
    2. Min, Hong-Ghi & McDonald, Judith A. & Choung, Jaeyong, 2003. "Dynamic capital mobility, capital-market risk, and contagion: evidence from seven Asian countries," Japan and the World Economy, Elsevier, vol. 15(2), pages 161-183, April.
    3. Hong G. Min, 1998. "Dynamic capita mobility, capital market risk, and exchange rate misalignment : evidence from seven Asian Countries," Policy Research Working Paper Series 2025, The World Bank.

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