EconPapers    
Economics at your fingertips  
 

Assessing the Credibility of a Target Zone: Evidence from EMS Countries

Marco Tronzano, Zacharias Psaradakis and Martin Sola

International Journal of Finance & Economics, 2000, vol. 5, issue 2, 107-20

Abstract: This paper proposes a Bayesian extension of Svensson's (1991) test of target zone credibility. The credibility measures considered allow us to quantify the target zone's overall credibility at each point in time as well as a measure of long-run credibility. In an application of the new methodology to three European Monetary System (EMS) countries (France, Italy and the UK), using data up to 1993, we find significant anticipatory signals of the September 1992 currency crisis. We also find a strong correlation between various macroeconomic variables and the proposed credibility measure. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

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:ijf:ijfiec:v:5:y:2000:i:2:p:107-20

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

 
Page updated 2025-03-31
Handle: RePEc:ijf:ijfiec:v:5:y:2000:i:2:p:107-20