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dc.contributor.authorBessec, Marie
dc.date.accessioned2013-11-29T13:11:48Z
dc.date.available2013-11-29T13:11:48Z
dc.date.issued2003-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12206
dc.language.isoenen
dc.subjectExchange ratesen
dc.subjectEuropean Monetary Systemen
dc.subjectMarkov-switchingen
dc.subjectError correction modelsen
dc.subject.ddc337en
dc.subject.classificationjelF31en
dc.subject.classificationjelF33en
dc.subject.classificationjelC32en
dc.titleMean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979–1998en
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherEUREQua, Université Paris 1;France
dc.description.abstractenThis paper examines jointly the empirical relevance of the mean-reversion and the PPP hypotheses in the exchange rate dynamics under the EMS. Given the non-stationarity and the non-linearities characterizing the foreign exchange rate dynamics, this question is studied using a MS-ECM model: it allows a discontinuous adjustment towards the cointegration relationship. We find that the European exchange rates of the ERM members display mean-reversion towards the central parity in the credible regime, whereas they adjust to the PPP during the volatile period. The first mechanism is due to the stabilizing effect of a credible target-zone, while the second one can be explained by the realignments made in accordance with the underlying inflation rates.en
dc.relation.isversionofjnlnameEconomic Modelling
dc.relation.isversionofjnlvol20en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2003-01
dc.relation.isversionofjnlpages141–164en
dc.relation.isversionofdoihttp/dx.doi.org/10.1016/S0264-9993(01)00089-Xen
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie internationaleen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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