Expected and Predicted Realignments
Author | : Andrew Rose |
Publisher | : |
Total Pages | : 48 |
Release | : 1991 |
ISBN-10 | : UCSD:31822018963009 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Expected and Predicted Realignments written by Andrew Rose and published by . This book was released on 1991 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.