English, Article, Journal or magazine article edition: A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/Deutsche Mark exchange rate Consuelo Gámez Amián; José L. Torres

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Bookmark: http://trove.nla.gov.au/version/160554
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Non-parametric reassessment of target zone nonlinearities: The Spanish Peseta/​Deutsche Mark exchange rate
Author
  • Consuelo Gámez Amián
  • José L. Torres
Physical Description
  • preprint
Notes
  • In this paper we present evidence concerning the existence of target zone nonlinearities in the Spanish Peseta/​Deutsche Mark exchange rate using data with daily frequency for the period 1989-1996. Using a non-parametric technique, the Alternation Conditional Expectations (ACE) algorithm, we obtain evidence of the existence of non-linearities in both exchange rate and interest rate differential, with a functional form close to the non-linear effects given by the target zone model with realignment risk.
  • Target zones, exchange rate, realignment risk, ACE algorithm
  • RePEc:cea:doctra:e2004_73
Language
  • English
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