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The Credibility of the Exchange Rate Regime: An Analysis trough “Derivatives” of the September 1992 Crisis

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  • Garofalo, Giuseppe
  • Barbato, Fabio

Abstract

This paper argues that, in the September 1992 European currency crisis, market trends in derivatives, in terms of price volatility and change in volumes traded, might have represented an early indicator, in reference to the spot market, of the lack of confidence in the ability of the Italian Lira and the Sterling Pound to maintain their parities within the ERM. The assessment is made by comparing the daily data on Italian/English interbank rates with the implicit yield on short-term interest rate futures and with a maximum compatible with the ERM band created by means of German interbank rates and changes in the exchange rates

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File URL: http://mpra.ub.uni-muenchen.de/13360/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13360.

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Date of creation: Sep 1996
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Handle: RePEc:pra:mprapa:13360

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Keywords: Derivatives; Exchange rates; Volatility;

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