Tronzano, Marco; Psaradakis, Zacharias; Sola, Martin - In: International Journal of Finance & Economics 5 (2000) 2, pp. 107-20
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...