Nonlinear 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:	2010
Authors:	Mizrach, Bruce
Published in:	Brussels Economic Review. - Département d'Économie Appliquée (DULBEA). - Vol. 53.2010, 2, p. 187-199
Publisher:	Département d'Économie Appliquée (DULBEA)
Subject:	Mean reversion \| Target zone \| Random walk

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Extent:	application/pdf
Type of publication:	Article
Notes:	Numéro Spécial « Special Issue on Nonlinear Financial Analysis :Editorial Introduction » Guest Editor :Catherine Kyrtsou
Classification:	F31 - Foreign Exchange ; F33 - International Monetary Arrangements and Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873433