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Non-linear exchange rate dynamics in target zones : a bumpy road towards a honeymoon ; some evidence from the ERM, ERM2 and selected new EU member states

Crespo-Cuaresma, Jesús; Égert, Balázs; MacDonald, Ronald - 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 the variant of the target zone model proposed by Bartolini and Prati (1999) and Bessec (2003), we set up a...

Persistent link: https://www.econbiz.de/10010273730

Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States

Crespo-Cuaresma, Jesús; Égert, Balázs; MacDonald, Ronald - 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...

Persistent link: https://www.econbiz.de/10009477175

Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland

Crespo-Cuaresma, Jesús; Égert, Balázs; Reininger, Thomas - 2004

The characteristics of the interest rate pass-through in the Czech Republic, Hungary and Poland are studied making use of autoregressive distributed lags (ARDL) models. Significant differences are found across market interest rates and countries concerning long-run elasticities of market...

Persistent link: https://www.econbiz.de/10009477526

Interest Rate Pass-Through in New EU Member States: The Case of the Czech Republic, Hungary and Poland

Crespo-Cuaresma, Jesús; Égert, Balázs; Reininger, Thomas - William Davidson Institute, University of Michigan - 2004

Persistent link: https://www.econbiz.de/10005677384

Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States

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...

Persistent link: https://www.econbiz.de/10005677572

Nonlinear exchange rate dynamics in target zones : a bumpy road toward a honeymoon ; some evidence from the ERM, ERM II and selected new EU member states

Crespo-Cuaresma, Jesús; Égert, Balázs; MacDonald, Ronald - In: Focus on european economic integration (2004) 1, pp. 46-69

Persistent link: https://www.econbiz.de/10009954249

Interest rate pass-through in Central and Eastern Europe : reborn from ashes merely to pass away?

Crespo-Cuaresma, Jesús; Égert, Balázs; Reininger, Thomas - In: Focus on european economic integration (2006) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10009954267