Nonlinear Mean Reversion in EMS Exchange Rates

Bruce Mizrach

Brussels Economic Review, 2010, vol. 53, issue 2, 187-199

Abstract: Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.

Keywords: Mean reversion; Target zone; Random walk (search for similar items in EconPapers)
JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 2010
Note: Numéro Spécial « Special Issue on Nonlinear Financial Analysis :Editorial Introduction » Guest Editor :Catherine Kyrtsou
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