On the mean-reverting properties of target zone exchange rates: a cautionary note

被引：14

作者：

Taylor, MP ^{[1
]}

Iannizzotto, M

机构：

[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[2] Univ Durham, Dept Econ & Finance, Durham DH1 3HY, England

来源：

ECONOMICS LETTERS | 2001年 / 71卷 / 01期

关键词：

exchange rates; target zones; mean-reversion;

D O I：

10.1016/S0165-1765(00)00402-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We, estimate a franc-mark target zone model and find a very limited 'honeymoon effect'. Monte Carlo experiments calibrated with the estimates caution against the use of standard linear tests for non-mean reversion as indirect tests of the target zone model. (C) 2001 Published by Elsevier Science B.V.

引用

页码：117 / 129

页数：13

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