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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1995-25
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Foreign Exchange
- Thema
-
EMS
target zone
unit roots
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mizrach, Bruce
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
1996
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Mizrach, Bruce
- Rutgers University, Department of Economics
Entstanden
- 1996
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