G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1638
DP1638 Setting Conversion Rates for the Third Stage of EMU
Paul De Grauwe; Luigi Spaventa
发表日期1997-04-30
出版年1997
语种英语
摘要This paper considers the evidence for volatility clustering and transmission in six bilateral Deutsche mark ERM exchange rates. Data on daily exchange rate changes are described by a mixture of two normal distributions. One of these contains observations of volatile exchange rate changes while the other pertains to tranquil periods. Using the information given by the two distributions, each observation is classified to one or other category. The phenomenon of volatility clustering in a given bilateral exchange rate series is then studied by means of a non-parametric test, while volatility transmission across exchange rates is studied by means of non-parametric tests for independence.
主题International Macroeconomics
关键词Erm Exchange rates Volatility clustering Volatility transmission
URLhttps://cepr.org/publications/dp1638
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/530771
推荐引用方式
GB/T 7714
Paul De Grauwe,Luigi Spaventa. DP1638 Setting Conversion Rates for the Third Stage of EMU. 1997.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Paul De Grauwe]的文章
[Luigi Spaventa]的文章
百度学术
百度学术中相似的文章
[Paul De Grauwe]的文章
[Luigi Spaventa]的文章
必应学术
必应学术中相似的文章
[Paul De Grauwe]的文章
[Luigi Spaventa]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。