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On the mean-reverting properties of target zone exchange rates: a cautionary note

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UNSPECIFIED. (2001) On the mean-reverting properties of target zone exchange rates: a cautionary note. ECONOMICS LETTERS, 71 (1). pp. 117-129. ISSN 0165-1765

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Abstract

We, estimate a franc-mark target zone model and find a very limited 'honeymoon effect'. Monte Carlo experiments calibrated with the estimates caution against the use of standard linear tests for non-mean reversion as indirect tests of the target zone model. (C) 2001 Published by Elsevier Science B.V.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Journal or Publication Title: ECONOMICS LETTERS
Publisher: ELSEVIER SCIENCE SA
ISSN: 0165-1765
Date: April 2001
Volume: 71
Number: 1
Number of Pages: 13
Page Range: pp. 117-129
Publication Status: Published
URI: http://wrap.warwick.ac.uk/id/eprint/12264

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