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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. doi:10.1016/S0165-1765(00)00402-X

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Official URL: http://dx.doi.org/10.1016/S0165-1765(00)00402-X

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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
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Economics Letters
Publisher: Elsevier
ISSN: 0165-1765
Official Date: 2001
Dates:
DateEvent
2001Published
Volume: 71
Number: 1
Number of Pages: 13
Page Range: pp. 117-129
DOI: 10.1016/S0165-1765(00)00402-X
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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