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On the mean-reverting properties of target zone exchange rates: Some evidence from the ERM

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  • Anthony, Myrvin
  • MacDonald, Ronald

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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 42 (1998)
Issue (Month): 8 (September)
Pages: 1493-1523

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Handle: RePEc:eee:eecrev:v:42:y:1998:i:8:p:1493-1523

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References

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  1. Kenneth A. Froot & Kenneth Rogoff, 1996. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
  2. Nieuwland, Frederick G M C & Verschoor, Willem F C & Wolff, Christian C P, 1994. "Stochastic trends and jumps in EMS exchange rates," Journal of International Money and Finance, Elsevier, vol. 13(6), pages 699-727, December.
  3. Rose, Andrew K & Svensson, Lars E O, 1993. "European Exchange Rate Credibility Before the Fall," CEPR Discussion Papers 852, C.E.P.R. Discussion Papers.
  4. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  5. Marcus Miller & Paul Weller, 1991. "Currency Bands, Target Zones, and Price Flexibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 184-215, March.
  6. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  7. De Grauwe, Paul, 1989. "The Cost of Disinflation and the European Monetary System," CEPR Discussion Papers 326, C.E.P.R. Discussion Papers.
  8. Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 119-144, Fall.
  9. Flood, Robert P. & Rose, Andrew K. & Mathieson, Donald J., 1991. "An empirical exploration of exchange-rate target-zones," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 7-65, January.
  10. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
  11. Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
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Citations

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Cited by:
  1. Jesús Crespo-Cuaresma & Balázs Égert & Ronald MacDonald, 2005. "Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States," William Davidson Institute Working Papers Series wp771, William Davidson Institute at the University of Michigan.
  2. Anthony, Myrvin & MacDonald, Ronald, 1999. "The width of the band and exchange rate mean-reversion: some further ERM-based results," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 411-428.
  3. Kaltenbrunner, Annina & Nissanke, Machiko, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  4. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2009. "Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM," GEMF Working Papers 2009-15, GEMF - Faculdade de Economia, Universidade de Coimbra.
  5. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF - Faculdade de Economia, Universidade de Coimbra.
  6. Rangvid, Jesper & Sorensen, Carsten, 2001. "Determinants of the implied shadow exchange rates from a target zone," European Economic Review, Elsevier, vol. 45(9), pages 1665-1696, October.
  7. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," GEMF Working Papers 2013-03, GEMF - Faculdade de Economia, Universidade de Coimbra.
  8. Ronald MacDonald & Cezary WÛjcik, 2004. "Catching up: The role of demand, supply and regulated price effects on the real exchange rates of four accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(1), pages 153-179, 03.
  9. Miller, J. Isaac, 2011. "Testing the bounds: Empirical behavior of target zone fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 1782-1792, July.
  10. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
  11. C. F. Lo & C. H. Hui & S. W. Chu & T. Fong, 2012. "A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar," Working Papers 282012, Hong Kong Institute for Monetary Research.
  12. Mariam Camarero & Cecilio Tamarit, . "A panel cointegration approach to the estimation of the peseta real exchange rate," Working Papers on International Economics and Finance 01-08, FEDEA.
  13. Marie Bessec, 2000. "Mean-Reversion versus PPP Adjustment: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998," Econometric Society World Congress 2000 Contributed Papers 1305, Econometric Society.
  14. Kathleen Dorsainvil, 2006. "Exchange Rate Unification Under Non-Credibility: The Haïtian Economy," International Advances in Economic Research, Springer, vol. 12(2), pages 229-240, May.
  15. C. H. Hui & C. F. Lo & V. Yeung & L. Fung, 2008. "Valuing foreign currency options with a mean-reverting process: a study of Hong Kong dollar," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 118-134.
  16. repec:onb:oenbwp:y:2004:i:1:b:1 is not listed on IDEAS
  17. Hui, C.H. & Lo, C.F., 2009. "A note on estimating realignment probabilities - A first-passage-time approach," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 804-812, September.
  18. Hali J. Edison & Ronald MacDonald, 2000. "Monetary policy independence in the ERM: was there any?," International Finance Discussion Papers 665, Board of Governors of the Federal Reserve System (U.S.).
  19. Mark P. Taylor & Stefan Reitz, 2013. "Exchange Rates in Target Zones - Evidence from the Danish Krone," Kiel Working Papers 1827, Kiel Institute for the World Economy.

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