Policy credibility in the ERM: evidence from six countries using an ARCH approach

Stilianos Fountas and Agapitos Papagapitos

Applied Economics, 1997, vol. 29, issue 5, 627-637

Abstract: The issue of credibility and capital mobility in the EMS is re-examined using an alternative methodology, as well as a longer sample period than previous studies. In particular, the dynamic relationship between interest rate differentials and the exchange rate risk premium is emphasized. The relationship between the premium and credibility is then used in order to identify patterns of credibility in ERM countries. Credibility in the case of Italy has declined post-1985, as indicated by the rising exchange rate risk premium. For Denmark, France and Ireland, credibility seems to be increasing up to the currency crisis period and for Belgium and Holland credibility increased early in the period and remained high during the rest of the period.

Date: 1997
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/000368497326822 (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:taf:applec:v:29:y:1997:i:5:p:627-637

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/000368497326822

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().