Assessing Target Zone Credibility : Mean Reversion and Devaluation Expectations in the EMS

Mean Reversion and Devaluation Expectations in the EMS

Assessing Target Zone Credibility : Mean Reversion and Devaluation Expectations in the EMS
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... READ MORE...

Publication date: October 1991
ISBN 9781451949964
$15.00

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