English, Article, Journal or magazine article edition: A Non-parametric analysis of ERM exchange rate fundamentals José L. Torres

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Bookmark: http://trove.nla.gov.au/version/160386
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Non-parametric analysis of ERM exchange rate fundamentals
Author
  • José L. Torres
Physical Description
  • preprint
Notes
  • In this paper we present evidence concerning the number of common stochastic trends in three major ERM exchange rates. The results indicate the presence of a single common trend driving these currencies and from this we suggest that the common trend can be considered as the ERM non-parametric fundamentals for the three selected currencies. Using a non-parametric technique, the Alternating Conditional Expectations (ACE) algorithm, we obtain evidence of the existence of non-linearities for two out of three currencies with a functional form, related to the estimated non-parametric fundamentals, close to the S-shape given by the basic target zone model.
  • Exchange rate fundamentals, target zones, common trends, ACE algorithm
  • RePEc:cea:doctra:e2004_25
Language
  • English
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