Arbeitspapier
Mean Reversion in EMS Exchange Rates
Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 1995-25
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Subject
-
EMS
target zone
unit roots
- Event
-
Geistige Schöpfung
- (who)
-
Mizrach, Bruce
- Event
-
Veröffentlichung
- (who)
-
Rutgers University, Department of Economics
- (where)
-
New Brunswick, NJ
- (when)
-
1996
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mizrach, Bruce
- Rutgers University, Department of Economics
Time of origin
- 1996
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