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.

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Year of publication:	1996-07-03
Authors:	Mizrach, Bruce
Institutions:	Department of Economics, Rutgers University-New Brunswick
Subject:	EMS \| target zone \| unit roots

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Brussels Economic Review, forthcoming.
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005800343