An Empirical Exploration of Exchange Rate Target-Zones

Robert Flood (), Andrew Rose and Donald J. Mathieson

No 3543, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of non-linearities in the relationship between the exchange rates and fundamentals. Many implications of existing "target-zone" exchange rate models are tested; little support is found for existing non-linear models of limited exchange rate flexibility.

Date: 1990-12
Note: ITI IFM
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Citations: View citations in EconPapers (31)

Published as Carnegie-Rochester Conference Series on Public Policy, 1991.

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Related works:
Journal Article: An empirical exploration of exchange-rate target-zones (1991)
Working Paper: An Empirical Exploration of Exchange Rate Target-Zones (1991)
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