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The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations
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Reitz, Stefan and Taylor, Mark P. (2013) The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations. Studies in Nonlinear Dynamics and Econometrics, 17 (3). doi:10.1515/snde-2012-0016
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Official URL: http://dx.doi.org/10.1515/snde-2012-0016
Abstract
Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model confirms that the exchange rate exhibits target zone dynamics consistent with a band of approximately 0.75% around its unconditional mean. We conclude that the Danmark Nationalbank intervention policy of intra-marginal operations successfully managed an informal target zone in the foreign exchange market.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
| Journal or Publication Title: | Studies in Nonlinear Dynamics and Econometrics | ||||||
| Publisher: | Berkeley Electronic Press | ||||||
| ISSN: | 1558-3708 | ||||||
| Official Date: | May 2013 | ||||||
| Dates: |
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| Volume: | 17 | ||||||
| Number: | 3 | ||||||
| DOI: | 10.1515/snde-2012-0016 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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