| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1638 |
| 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 |
| URL | https://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. |
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