The European Exchange Rate Mechanism and the Volatility of the Sterling-Deutschemark Exchange Rate
AbstractSterling membership of the ERM focused interest on the sterling-deutsche mark exchange rate, with commentators predicting a reduction in exchange rate volatility. This paper analyzes the sterling-deutsche mark rate pre- and post-ERM entry, and finds that ERM membership significantly reduced volatility. This reduction in volatility is characterized by the disappearance of ARCH effects, evident prior to ERM membership. The paper argues that the disappearance of ARCH is probably associated with a reduction in activity of speculators, particularly technical analysts. Copyright 1993 by Royal Economic Society.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 103 (1993)
Issue (Month): 421 (November)
Contact details of provider:
Postal: Office of the Secretary-General, School of Economics and Finance, University of St. Andrews, St. Andrews, Fife, KY16 9AL, UK
Phone: +44 1334 462479
Web page: http://www.res.org.uk/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jerome Creel & Henri Sterdyniak, 1998.
"Discussing Euro Volatility,"
Documents de Travail de l'OFCE
1998-03, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jérôme Creel & Henri Sterdyniak, 1998.
"A propos de la volatilité de l’euro,"
Sciences Po publications
info:hdl:2441/2963, Sciences Po.
- Nolan, C. & Chadha, J.S., 1999.
"Inflation Targeting, Transparency and Interest Rate Volatility: Ditching 'Monetary Mystique' in the UK,"
Cambridge Working Papers in Economics
9921, Faculty of Economics, University of Cambridge.
- Chadha, Jagjit S. & Nolan, Charles, 2001. "Inflation Targeting, Transparency and Interest Rate Volatility: Ditching Monetary Mystique in the U.K," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 349-366, July.
- Fayolle, J. & Micolet, P-E., 1998. "Cycles internationaux et européens: éléments pour une problématique appliquée," Documents de Travail de l'OFCE 1998-01, Observatoire Francais des Conjonctures Economiques (OFCE).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.