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Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
ISBN: 1451949960
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within the ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since the expected rates of depreciation are usually of about the same magnitude as the interest rate differentials.
Author: Mr.Lars E. O. Svensson
Publisher: International Monetary Fund
ISBN: 1451949960
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within the ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since the expected rates of depreciation are usually of about the same magnitude as the interest rate differentials.
Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451947003
Category : Business & Economics
Languages : en
Pages : 38
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Book Description
Under the assumption of no arbitrage exchange rate target zone credibility is tested by whether domestic interest rates fall within “rate-of-return bands” between the maximum and minimum home-currency rate of return on a foreign investment absent a devaluation. Under the assumption of uncovered interest rate parity credibility is tested by whether expected future exchange rates fall within the exchange rate band. These tests are applied on data about the Swedish target zone during January 1987-August 1990.
Author: Lars Svensson
Publisher:
ISBN:
Category :
Languages : es
Pages : 16
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Book Description
Author: L. E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Lars Svensson
Publisher:
ISBN:
Category :
Languages : es
Pages : 24
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Author:
Publisher:
ISBN:
Category :
Languages : es
Pages : 42
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Author: Lars E. O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Abstract: addition, the expected future exchange rates are used to give an estimate of the
Author: Lars E.O. Svensson
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Author: Francisco J. Ledesma Rodríguez
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
