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Mean-Reversion Versus Adjustment to PPP: The Two Regimes of Exchange Rate Dynamics Under the EMS, 1979-1998

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Author Info
Bessec, M.

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Abstract

This paper examines jointly the empirical relevance of the mean-reversion and the PPP hypotheses in the exchange rate dynamics under the EMS.

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Publisher Info
Paper provided by Paris I - Economie Mathematique et Applications in its series Papers with number 2000.102.

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Length: 29 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:pariem:2000.102

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Postal: France; Universite de Paris I - Pantheon- Sorbonne, 12 Place de Pantheon-75005 Paris, France
Web page: http://cermsem.univ-paris1.fr/
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Related research
Keywords: MONETARY SYSTEMS EXCHANGE RATE

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

Statistics
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This page was last updated on 2008-7-2.

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