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Exchange rate expectations and risk premia in the European monetary system

Cavaglia, Stefano M.; Koedijk, Kees; Vlaar, Peter J. G. - 1992

Persistent link: https://www.econbiz.de/10000849320

Imperfect credibility of the band and risk premia in the European Monetary System

Beetsma, Roel - 1992

Persistent link: https://www.econbiz.de/10000852189

Excess returns in the EMS : do "weak" currencies still exit after the widening of the fluctuation bands?

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000914037

Compound volatility processes in EMS exchange rates

Dueker, Michael - 1994

Persistent link: https://www.econbiz.de/10000896965

Target zones and conditional volatility : an ARCH application to the EMS

Neely, Christopher J. - 1993

Persistent link: https://www.econbiz.de/10000897484

Wechselkursschwankungen, Außenhandel und Arbeitsmärkte : neue theoretische und empirische Analysen im Lichte der Europäischen Währungsunion

Belke, Ansgar - 2001

Persistent link: https://www.econbiz.de/10001550494

Volatility and misalignments of EMS and other currencies during 1974 - 1998

Papaioannou, Michael G. - In: European monetary union and capital markets, (pp. 51-96). 2001

Persistent link: https://www.econbiz.de/10001685214

Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

Persistent link: https://www.econbiz.de/10011577049

Excess returns in the EMS : Do "weak" currencies still exist after the widening of the fluctuation bands?

Caporale, Guglielmo Maria; Hassapis, Christis; Pittis, … - 1994

Persistent link: https://www.econbiz.de/10000147718

Volatility and misalignments of EMS and other currencies during 1974–1998

Papaioannou, Michael G. - In: European monetary union and capital markets, (pp. 51-96). 2001

This paper distinguishes exchange rate variability from exchange rate misalignments and presents statistical measures in this regard. It uses PPP as a crude approximation of equilibrium exchange rates and shows that during periods of possible misalignments, the exchange rate variability of some...

Persistent link: https://www.econbiz.de/10015389638