Sercu, Piet; Vandebroek, Martina; Wu, Xueping - In: Journal of International Money and Finance 27 (2008) 8, pp. 1284-1302
For the purpose of testing uncovered interest parity (UIP), rates of European currencies against the Mark offer a distinct advantage: the admissible band of the Exchange Rate Mechanism (ERM) induces statistically significant mean-reversion in weekly rates. Thus, unlike for freely floating rates,...