This paper proposes a Bayesian extension of Svensson's (1991) test of target zone credibility. The credibility measures considered allow us to quantify the target zone's overall credibility at each point in time as well as a measure of long-run credibility. In an application of the new...

This paper tests the properties of the zloty-dollar exchange rate for the possible presence of unknown non-linearities. It concludes that there is strong evidence for the presence of an underlying non-linear process which is possibly chaotic. A non-linear model which allows for discrete...

This paper demonstrates, by means of Monte Carlo experimentation, that tests of the expectations hypothesis of the term structure based on instrumental variables regressions of the change in the short rate on the relevant lagged yield spread are prone to severe over-rejection when the term...

We develop and apply a method of testing for speculative bubbles. The method is designed to overcome two well-known problems in the identification of bubble phenomena--the problem of distinguishing any type of bubble from an expected future change in market fundamentals and the problem of...