The width of the band and exchange rate mean-reversion: some further ERM-based results
Article Abstract:
Research was conducted to investigate the time series characteristics of seven Exchange Rates Mechanism (ERM) participants in the European Union using standard univariate unit root tests due to a prediction that the exchange rate must be mean-reverting within the band. Standard univariate unit root tests show evidences of mean reversion. Such mean-reversion for the wide band ERM is as strong as for the narrow band ERM.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1999
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Exchange rates, financial innovation and divisia money: the sterling/dollar rate 1972-1990
Article Abstract:
The simple monetary approach is used to show the significance of choosing the correct money supply when constructing the exchange rate model. Main focus is on the sterling-dollar exchange rate. It is hypothesized that divisia money would outperform simple sum money during rapid financial deregulation. This is demonstrated over the period 1972:Q1 to 1990:Q2 for the sterling-US dollar exchange rate.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1995
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Technical trading rules in the European Monetary System
Article Abstract:
Trading rules that generate important excess returns for exchange rates of three European Monetary System in 1986-1996 were found using genetic programming. It is imperative that the use of information about the interest rate differential by trading rules be permitted. A reduction in trading rule profitability may be due to the reduction in volatility caused by the imposition of a narrower band.
Publication Name: Journal of International Money and Finance
Subject: Economics
ISSN: 0261-5606
Year: 1999
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