An empirical reassessment of target-zone nonlinearities

In this paper we investigate the presence of target-zone nonlinearities in the Pound Sterling/German Mark exchange rate for the period of the UK European Exchange Rate Mechanism (ERM) membership using data with frequency of every 2 days. Tests against general nonlinear specifications as well as spec...

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Detalles Bibliográficos
Autores principales: Garratt, A., Psaradakis, Z., Sola, M.
Formato: JOUR
Materias:
Bayesian analysis
Bootstrap
C22
F31
Nonlinearity
Recursive tests
Target zone
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_02615606_v20_n4_p533_Garratt
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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