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

Mark P. Taylor; Matteo Iannizzotto

doi:10.1016/S0165-1765(00)00402-X

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

Mark P. Taylor
, Matteo Iannizzotto

Research output: Contribution to journal › Article › peer-review

17 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	117-129
Number of pages	13
Journal	Economics Letters
Volume	71
Issue number	1
DOIs	https://doi.org/10.1016/S0165-1765(00)00402-X
State	Published - Apr 2001

Keywords

Exchange rates
F31
F33
Mean-reversion
Target zones

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10.1016/S0165-1765(00)00402-X

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title = "On the mean-reverting properties of target zone exchange rates: A cautionary note",

abstract = "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.",

keywords = "Exchange rates, F31, F33, Mean-reversion, Target zones",

author = "Taylor, \{Mark P.\} and Matteo Iannizzotto",

year = "2001",

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AU - Iannizzotto, Matteo

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N2 - 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.

AB - 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.

KW - Exchange rates

KW - F31

KW - F33

KW - Mean-reversion

KW - Target zones

UR - https://www.scopus.com/pages/publications/0035583715

U2 - 10.1016/S0165-1765(00)00402-X

DO - 10.1016/S0165-1765(00)00402-X

M3 - Article

AN - SCOPUS:0035583715

SN - 0165-1765

VL - 71

SP - 117

EP - 129

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

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

Abstract

Keywords

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