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Abstract:

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.

Registro:

Documento: Artículo
Título:An empirical reassessment of target-zone nonlinearities
Autor:Garratt, A.; Psaradakis, Z.; Sola, M.
Filiación:Department of Applied Economics, Univ. Cambridge, Sidgwick Ave., C., Cambridge, United Kingdom
School of Economics, Math. Stat., Birkbeck Coll., U., London, United Kingdom
Departamento de Economía, Universidad Torcuato di Tella, Miñones 2159/77, (1428) Capital Federal, Argentina
Palabras clave:Bayesian analysis; Bootstrap; C22; F31; Nonlinearity; Recursive tests; Target zone
Año:2001
Volumen:20
Número:4
Página de inicio:533
Página de fin:548
DOI: http://dx.doi.org/10.1016/S0261-5606(01)00008-0
Título revista:Journal of International Money and Finance
Título revista abreviado:J. Int. Money Financ.
ISSN:02615606
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_02615606_v20_n4_p533_Garratt

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Citas:

---------- APA ----------
Garratt, A., Psaradakis, Z. & Sola, M. (2001) . An empirical reassessment of target-zone nonlinearities. Journal of International Money and Finance, 20(4), 533-548.
http://dx.doi.org/10.1016/S0261-5606(01)00008-0
---------- CHICAGO ----------
Garratt, A., Psaradakis, Z., Sola, M. "An empirical reassessment of target-zone nonlinearities" . Journal of International Money and Finance 20, no. 4 (2001) : 533-548.
http://dx.doi.org/10.1016/S0261-5606(01)00008-0
---------- MLA ----------
Garratt, A., Psaradakis, Z., Sola, M. "An empirical reassessment of target-zone nonlinearities" . Journal of International Money and Finance, vol. 20, no. 4, 2001, pp. 533-548.
http://dx.doi.org/10.1016/S0261-5606(01)00008-0
---------- VANCOUVER ----------
Garratt, A., Psaradakis, Z., Sola, M. An empirical reassessment of target-zone nonlinearities. J. Int. Money Financ. 2001;20(4):533-548.
http://dx.doi.org/10.1016/S0261-5606(01)00008-0