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The paper presents estimates of a model of the credibility of the U.K. commitment to its central parity against the … deutsche mark during the period of U.K. ERM membership (1990-92). The measure of credibility used is the long-term interest … differential with Germany. Credibility is decomposed into two aspects: an assessment of whether the government was truly committed …
Persistent link: https://www.econbiz.de/10012774281
, challenged the full credibility of the Swiss National Bank (SNB) in enforcing the lower barrier implemented in September 6, 2011 …, reaching a level of nearly 50%. The credibility of the SNB in maintaining the floor, as seen from the option market, was thus …
Persistent link: https://www.econbiz.de/10011569649
The structural VAR models for European countries (France, Denmark, and Germany) are developed to examine the monetary policy reactions, especially the within-ERM exchange rate stabilization, during the ERM period. First, impulse responses of monetary instrument and the exchange rate to shocks...
Persistent link: https://www.econbiz.de/10014139848
Foreign exchange intervention (FXI) is a highly debated topic. Yet, comprehensive and comparable data on FXI is hard to find. This paper provides a new dataset of FXI covering a large number of countries over the period 2000-20 at monthly and quarterly frequencies. It includes publicly available...
Persistent link: https://www.econbiz.de/10013226447
Persistent link: https://www.econbiz.de/10013432291
This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between...
Persistent link: https://www.econbiz.de/10012916944
This paper estimates forward-looking monetary policy rules for Germany over the 1979-98 period and for the United Kingdom for the periods 1979-90 and 1992-98. The estimation results indicate that there were substantial differences between systematic monetary policy in Germany and in the United...
Persistent link: https://www.econbiz.de/10014066761
There is a tension between pre-float instincts that a more disciplined monetary policy should diminish exchange rate volatility with the apparent reality that macroeconomic fundamentals do not drive G3 exchange rates in the short-run. The recent movement towards greater transparency in monetary...
Persistent link: https://www.econbiz.de/10014148858
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...
Persistent link: https://www.econbiz.de/10014158955
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...
Persistent link: https://www.econbiz.de/10009735759