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
Authors:	Mizrach, Bruce
Publisher:	New Brunswick, NJ : Rutgers University, Department of Economics
Subject:	EMS \| target zone \| unit roots

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Series:	Working Paper ; 1995-25
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	875826725 [GVK] hdl:10419/94260 [Handle] RePEc:rut:rutres:199525 [RePEc]
Classification:	C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	EconStor

Persistent link: https://www.econbiz.de/10010334286