Tail Estimates and the EMS Target Zone

Kees G Koedijk and Clemens Kool

Review of International Economics, 1994, vol. 2, issue 2, 153-65

Abstract: Characteristically, distributions of exchange-rate returns are fat-tailed. We use a nonparametric tail-index estimator based on extreme value theory for seven EMS currencies between April 1979 and October 1991. We find that the behavior of the Belgian franc, the Danish Krone, the Frnech franc, and the Italian lira has become significantly less fat-tailed over time. We attribute this to the decline in the exchange-rate variance as observed in the EMS which according to the target-zone literature should lead to a convergence of fixed exchange-rate behavior to that of floating rates. A comparison of tail estimates for the Deutsche mark and dollar exchange rates supports this notion. Copyright 1994 by Blackwell Publishing Ltd.

Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (10)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reviec:v:2:y:1994:i:2:p:153-65

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0965-7576

Access Statistics for this article

Review of International Economics is currently edited by E. Kwan Choi

More articles in Review of International Economics from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().