An Empirical Exploration of Exchange Rate Target-Zones
Summary:
In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of nonlinearities in the relationship between the exchange rates and fundamentals. Many implications of existing “target-zone” exchange rate models are tested; little support is found for existing nonlinear models of limited exchange rate flexibility.
Series:
Working Paper No. 1991/015
Subject:
Crawling peg Exchange rate arrangements Exchange rate modelling Exchange rates Foreign exchange Managed exchange rates
English
Publication Date:
February 1, 1991
ISBN/ISSN:
9781451843163/1018-5941
Stock No:
WPIEA0151991
Pages:
73
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