Crespo-Cuaresma, Jesús; Égert, Balázs; MacDonald, Ronald - William Davidson Institute, University of Michigan - 2005
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) and in the Exchange Rate Mechanism II (ERM-II). On the basis of Bessec (2003), we set up a three-regime self-exciting threshold autoregressive model (SETAR) with a...