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The Stabilizing Effect of the ERMon Exchange Rates and Interest Rates

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  • Michael J. Artis
  • Mark P. Taylor

Abstract

This paper applies nonparametric test procedures to test for a shift in the volatility of nominal and real exchange rates for ERM members and nonmembers. The results imply a reduction in volatility for the ERM members, especially during the second half of the period of operation of the ERM. We also demonstrate that this enhanced stability was not bought at the expense of increased interest rate volatility. The issue of interest rate volatility during sterling’s participation in the ERM is also examined.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 93/67.

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Length: 30
Date of creation: 01 Aug 1993
Date of revision:
Handle: RePEc:imf:imfwpa:93/67

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Cited by:
  1. A. Morales-Zumaquero & Simon Sosvilla-Rivero, 2008. "Macroeconomic instability in the European monetary system?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(12), pages 965-983.
  2. Rodolfo Maino & Balázs Horváth, 2006. "Monetary Transmission Mechanisms in Belarus," IMF Working Papers 06/246, International Monetary Fund.
  3. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 1(1), pages 61-86.
  4. Michael Hu & Christine Jiang & Christos Tsoukalas, 2004. "The volatility impact of the European monetary system on member and non-member currencies," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 14(5), pages 313-325.

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