Mean reversion in EMS exchange rates

Bruce Mizrach (Department of Economics, Rutgers University, New Brunswick, NJ)

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.

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Year of publication:	[1996]
Authors:	Mizrach, Bruce Marshall
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	EMS \| target zone \| unit roots \| Wechselkurstheorie \| Exchange rate theory \| Wechselkurspolitik \| Exchange rate policy \| Zielzone \| Target zone \| Schätzung \| Estimation \| EU-Staaten \| EU countries

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Mean reversion in EMS exchange rates. - New Brunswick, NJ, 1995. - 17 S

Persistent link: https://www.econbiz.de/10011576548