European Exchange Rate Credibility Before the Fall / Andrew K. Rose, Lars E.O. Svensson.

Format:

Book

Author/Creator:

Rose, Andrew K.

Contributor:

National Bureau of Economic Research.

Svensson, Lars E.O.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4495.

NBER working paper series no. w4495

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

Summary:

Realignment expectations which measure exchange rate credibility are analyzed for European exchange rates, using daily financial data since the inception of the EMS. It is difficult to find economically meaningful relationships between realignment expectations and macroeconomic variables, although there are signs that lower inflation improves credibility. Statistically, many movements to realignment expectations are common to ERM participants. There were few indications of poor ERM credibility before late August 1992; the dimensions of the currency crisis of September 1992 appear to have taken both policy-makers and private agents largely by surprise.

Notes:

Print version record

October 1993.