| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP580 |
| DP580 Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS | |
| Lars E.O. Svensson | |
| 发表日期 | 1991-07-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutschmark, for the period March 1979 - May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is non-trivial because exchange rates within ERM bands display mean reversion rather than random walk (unit root) behaviour. The adjustment is essential since expected rates of depreciation within the band are usually of about the same magnitude as interest rate differentials. |
| 主题 | International Macroeconomics |
| 关键词 | Ems exchange rate Mean reversion Realignment Target zone Unit root devaluation |
| URL | https://cepr.org/publications/dp580 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529724 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson. DP580 Assessing Target Zone Credibility: Mean Reversion and Devaluation Expectations in the EMS. 1991. |
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