We estimate a dynamic heterogeneous agents model for the British pound during the European monetary system crisis. We illustrate the chain of events leading to the suspension of the pound from the exchange rate mechanism in terms of switching beliefs, from fundamentalist to chartist.

In this paper we investigate the nature of the relationship between stock prices and spot exchange rates using recent developments in time series modelling. We are able to explain why traditional econometric techniques show little correlation between bilateral exchange rates and stock prices....

This study investigates the co-variability of changes in nominal interest rates for the main EC countries between April 1974 and January 1992, using principal components analysis. We find that there is evidence of increased monetary interdependence and greater capital market integration, but...