Advanced Search
MyIDEAS: Login to save this article or follow this journal

The European Monetary System: Credible at Last?

Contents:

Author Info

  • Frankel, Jeffrey
  • Phillips, Steven

Abstract

We update tests of the credibility of the EMS exchange rate target zones. Our main methodological innovation is to use a survey of exchange rate forecasts, as well as interest differentials, in measuring exchange rate expectations. We investigate the hypothesis--suggested by the apparent stabilization of the EMS and by recent institutional developments--that the EMS target zones have experienced an increase in credibility since their 1987 realignment. The evidence tends to support this hypothesis for most currencies studied. We also examine the empirical failure of standard target zone models, but find no evidence that it can be attributed to mismeasurement of expectations. Finally, we consider an alternative credibility measure which captures the importance of possible realignments in overall expectations of exchange rate changes. Copyright 1992 by Royal Economic Society.

Download Info

If 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.
File URL: http://links.jstor.org/sici?sici=0030-7653%28199210%292%3A44%3A4%3C791%3ATEMSCA%3E2.0.CO%3B2-S&origin=bc
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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 Info

Article provided by Oxford University Press in its journal Oxford Economic Papers.

Volume (Year): 44 (1992)
Issue (Month): 4 (October)
Pages: 791-816

as in new window
Handle: RePEc:oup:oxecpp:v:44:y:1992:i:4:p:791-816

Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Email:
Web page: http://oep.oupjournals.org/

Order Information:
Web: http://www.oup.co.uk/journals

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. One (labour) market, one money.
    by Alberto Bagnai in Goofynomics on 2012-04-22 21:10:00
  2. Mehr Europa: Du mußt es dreimal sagen
    by Alberto Bagnai in Goofynomics on 2012-06-03 22:07:00
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates: An empirical investigation," Discussion Paper, Tilburg University, Center for Economic Research 1997-22, Tilburg University, Center for Economic Research.
  2. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2010-14, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. Svensson, Lars E O, 1994. "Fixed Exchange Rates as a Means to Price Stability: What Have We Learned?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 872, C.E.P.R. Discussion Papers.
  4. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(2), pages 177-192, April.
  5. Lindberg, H. & Svensson, L.E. & Soderlind, P., 1991. "Devaluation Expectations: the Swedish Krona 1982-1991," Papers, Stockholm - International Economic Studies 495, Stockholm - International Economic Studies.
  6. Knot, Klaas & de Haan, Jakob, 1995. "Interest rate differentials and exchange rate policies in Austria, The Netherlands, and Belgium," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(2), pages 363-386, May.
  7. Stefano Cavaglia & Kees Koedijk & Peter Vlaar, 1994. "Exchange rate expectations and risk premia in the European Monetary System: 1985–1991," Open Economies Review, Springer, Springer, vol. 5(4), pages 347-360, October.
  8. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2008. "Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case," GEMF Working Papers, GEMF - Faculdade de Economia, Universidade de Coimbra 2008-03, GEMF - Faculdade de Economia, Universidade de Coimbra.
  9. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate and Interest Rate Distribution and Volatility under the Portuguese Target Zone," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 261-282, September.
  10. Thomson Fontaine, 2005. "Currency Crises in Developed and Emerging Market Economies," IMF Working Papers, International Monetary Fund 05/13, International Monetary Fund.
  11. Antoine Magnier & Benoît Cœuré, 1996. "Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 123(2), pages 113-146.
  12. Alberto Bagnai, 2013. "Unhappy families are all alike: Minskyan cycles, Kaldorian growth, and the Eurozone peripheral crises," a/ Working Papers Series, Italian Association for the Study of Economic Asymmetries, Rome (Italy) 1301, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
  13. Klaster, Michel A. & Knot, Klaas H. W., 2002. "Toward an econometric target zone model with endogenous devaluation risk for a small open economy," Economic Modelling, Elsevier, Elsevier, vol. 19(4), pages 509-529, August.
  14. Christopher J. Neely, 1994. "Realignments of target zone exchange systems: what do we know?," Working Papers, Federal Reserve Bank of St. Louis 1994-020, Federal Reserve Bank of St. Louis.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:oup:oxecpp:v:44:y:1992:i:4:p:791-816. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) 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.