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On the mean-reverting properties of target zone exchange rates : a cautionary note
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Taylor, Mark P. and Iannizzotto, Matteo. (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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Official URL: http://dx.doi.org/10.1016/S0165-1765(00)00402-X
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 | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Economics Letters | ||||
| Publisher: | Elsevier | ||||
| ISSN: | 0165-1765 | ||||
| Official Date: | 2001 | ||||
| Dates: |
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| Volume: | 71 | ||||
| Number: | 1 | ||||
| Number of Pages: | 13 | ||||
| Page Range: | pp. 117-129 | ||||
| Identification Number: | 10.1016/S0165-1765(00)00402-X | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/12264 |
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