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Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS / Andrew K. Rose, Lars E.O. Svensson.
- Format:
- Book
- Author/Creator:
- Rose, Andrew K.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3685.
- NBER working paper series no. w3685
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Expected and Predicted Realignments
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1991.
- Summary:
- An empirical model of time-varying realignment risk in an exchange rate target zone is developed. Expected rates of devaluation are estimated as the difference between interest race differentials and estimated expected rates of depreciation within the exchange rate band, using French Franc/Deutsche Mark data during the European Monetary System. The behavior of estimated expected rates of depreciation accord well with the theoretical model of Bertola-Svensson (1990) . We are also able to predict actual realignments with some success.
- Notes:
- Print version record
- April 1991.
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