Macedo, Jorge Braga de; Pereira, Luis Brites - Faculdade de Economia, Universidade Nova de Lisboa - 2006
This paper studies the credibility of the currency peg of Cape Verde (CV) by assessing the impact of economic fundamentals, our explanatory variables, on the stochastic properties of Exchange Market Pressure (EMP), the dependent variable, using EGARCH-M models. Our EMP descriptive analysis finds...