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Devaluation Expectations: The Swedish Krona 1985-92

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  • Lindberg, Hans
  • Soderlind, Paul
  • Svensson, Lars E O

Abstract

Devaluation expectations for the Swedish krona are estimated for the period 1985 to 1992 using daily data for exchange rates and interest rates. The 90 percent confidence intervals for these estimates obtained by the 'drift-adjustment' method suggested by Giuseppe Bertola and Lars E. O. Svensson (1993) are substantially narrower than the '100 percent confidence intervals' obtained by the 'simplest test' described by Svensson (1991). Estimates for various maturities are used to infer the expected timing of devaluations. Copyright 1993 by Royal Economic Society.

Suggested Citation

  • Lindberg, Hans & Soderlind, Paul & Svensson, Lars E O, 1993. "Devaluation Expectations: The Swedish Krona 1985-92," Economic Journal, Royal Economic Society, vol. 103(420), pages 1170-1179, September.
  • Handle: RePEc:ecj:econjl:v:103:y:1993:i:420:p:1170-79
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    Cited by:

    1. 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, vol. 1(1), pages 61-86.
    2. Francisco Ledesma Rodríguez & Manuel Navarro Ibáñez & Jorge Pérez Rodríguez & Simón Sosvilla Rivero, 2008. "The Credibility of the European monetary System:A Review," Cuadernos de Economía - Spanish Journal of Economics and Finance, ELSEVIER, vol. 31(86), pages 005-034, Mayo-Agos.
    3. Cúrdia, Vasco & Finocchiaro, Daria, 2013. "Monetary regime change and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 756-773.
    4. Viktors Ajevskis & Armands Pogulis, 2005. "Repegging of the Lats to the Euro: Implications for the Financial Sector," Working Papers 2005/01, Latvijas Banka.
    5. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
    6. Yum K. Kwan & Francis T. Lui & Leonard K. Cheng, 2001. "Credibility of Hong Kong's Currency Board: The Role of Institutional Arrangements," NBER Chapters,in: Regional and Global Capital Flows: Macroeconomic Causes and Consequences, NBER-EASE Volume 10, pages 233-259 National Bureau of Economic Research, Inc.
    7. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2000. "On the Credibility of the Irish Pound in the EMS," The Economic and Social Review, Economic and Social Studies, vol. 31(2), pages 151-172.

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