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  • Search: subject:"volatility and target zones"
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Year of publication
Subject
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Credibility 2 EMS 2 Exchange rate stability 2 M-GARCH 2 Volatility and target zones 2 ERM 1 disinflation 1 volatility and target zones 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Language
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English 2 Undetermined 1
Author
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Andrade, João Sousa 3 Duarte, Adelaide 3 Duarte, António Portugal 3
Institution
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Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 2
Published in...
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GEMF Working Papers 2 Panoeconomicus 1
Source
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RePEc 3
Showing 1 - 3 of 3
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Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model
Duarte, António Portugal; Andrade, João Sousa; … - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2015
One of the main implications of the basic target zone model developed by Krugman (1991) is that there is a trade-off between exchange rate volatility and interest rate differential volatility. Using an M-GARCH model we find evidence that such a trade-off existed, prior to the introduction of the...
Persistent link: https://www.econbiz.de/10011208167
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Exchange Rate and Interest Rate Distribution and Volatility under the Portuguese Target Zone
Duarte, António Portugal; Andrade, João Sousa; … - In: Panoeconomicus 57 (2010) 3, pp. 261-282
The aim of this study is to analyse the exchange rate and interest rate distribution and volatility under the participation of the Portuguese economy in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) based on some of the main predictions of the target zone literature....
Persistent link: https://www.econbiz.de/10008677173
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Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case
Duarte, António Portugal; Andrade, João Sousa; … - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2008
This work examines the participation of the Portuguese economy in the ERM of the EMS based on some of the main predictions of the target zone literature. The exchange rate distribution reveals that the majority of the observations lie close to the central parity, thus rejecting one of the key...
Persistent link: https://www.econbiz.de/10005670368
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