Arbeitspapier
Nominal Exchange Rate Dynamics in the European Monetary System
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed to estimate the parameters of the model. Simulations with the estimated parameter values show that the model predicts non-normality and non-stationarity in the distribution of exchange rate changes and that these characteristics diminish with aggregation.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 779
- Klassifikation
-
Wirtschaft
- Thema
-
Browian motion
target zones
leptokurtosis
ARCH
Method of Simulated Moments
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Spencer, Michael G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1990
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Spencer, Michael G.
- Queen's University, Department of Economics
Entstanden
- 1990
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