An empirical reassessment of target-zone nonlinearities

In this paper we investigate the presence of target-zone nonlinearities in the Pound Sterling/German Mark exchange rate for the period of the UK European Exchange Rate Mechanism (ERM) membership using data with frequency of every 2 days. Tests against general nonlinear specifications as well as spec...

Descripción completa

Guardado en:
Detalles Bibliográficos
Publicado: 2001
Materias:
Bayesian analysis
Bootstrap
C22
F31
Nonlinearity
Recursive tests
Target zone
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_02615606_v20_n4_p533_Garratt
http://hdl.handle.net/20.500.12110/paper_02615606_v20_n4_p533_Garratt
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_02615606_v20_n4_p533_Garratt
record_format dspace
spelling paper:paper_02615606_v20_n4_p533_Garratt2023-06-08T15:22:46Z An empirical reassessment of target-zone nonlinearities Bayesian analysis Bootstrap C22 F31 Nonlinearity Recursive tests Target zone In this paper we investigate the presence of target-zone nonlinearities in the Pound Sterling/German Mark exchange rate for the period of the UK European Exchange Rate Mechanism (ERM) membership using data with frequency of every 2 days. Tests against general nonlinear specifications as well as specifications consistent with a stochastic devaluation risk model of exchange rate target zones are carried out using recursive techniques. In addition, the significance of nonlinear effects is analysed within a recursive Bayesian framework. We find evidence of target-zone nonlinearities in the whole sample but the recursive analysis yields support for the presence of such nonlinearities only in specific subsamples. Our results imply that the reduction in the UK inflation rate was most likely a consequence of contractionary policies rather than of the expectational effects associated with the target zone. © 2001 Elsevier Science Ltd. 2001 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_02615606_v20_n4_p533_Garratt http://hdl.handle.net/20.500.12110/paper_02615606_v20_n4_p533_Garratt
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Bayesian analysis
Bootstrap
C22
F31
Nonlinearity
Recursive tests
Target zone
spellingShingle Bayesian analysis
Bootstrap
C22
F31
Nonlinearity
Recursive tests
Target zone
An empirical reassessment of target-zone nonlinearities
topic_facet Bayesian analysis
Bootstrap
C22
F31
Nonlinearity
Recursive tests
Target zone
description In this paper we investigate the presence of target-zone nonlinearities in the Pound Sterling/German Mark exchange rate for the period of the UK European Exchange Rate Mechanism (ERM) membership using data with frequency of every 2 days. Tests against general nonlinear specifications as well as specifications consistent with a stochastic devaluation risk model of exchange rate target zones are carried out using recursive techniques. In addition, the significance of nonlinear effects is analysed within a recursive Bayesian framework. We find evidence of target-zone nonlinearities in the whole sample but the recursive analysis yields support for the presence of such nonlinearities only in specific subsamples. Our results imply that the reduction in the UK inflation rate was most likely a consequence of contractionary policies rather than of the expectational effects associated with the target zone. © 2001 Elsevier Science Ltd.
title An empirical reassessment of target-zone nonlinearities
title_short An empirical reassessment of target-zone nonlinearities
title_full An empirical reassessment of target-zone nonlinearities
title_fullStr An empirical reassessment of target-zone nonlinearities
title_full_unstemmed An empirical reassessment of target-zone nonlinearities
title_sort empirical reassessment of target-zone nonlinearities
publishDate 2001
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_02615606_v20_n4_p533_Garratt
http://hdl.handle.net/20.500.12110/paper_02615606_v20_n4_p533_Garratt
_version_ 1768544363616403456

Ejemplares similares