EconPapers    
Economics at your fingertips  
 

The Credibility of the Exchange Rate Regime: An Analysis trough “Derivatives” of the September 1992 Crisis

Giuseppe Garofalo and Fabio Barbato

MPRA Paper from University Library of Munich, Germany

Abstract: This paper argues that, in the September 1992 European currency crisis, market trends in derivatives, in terms of price volatility and change in volumes traded, might have represented an early indicator, in reference to the spot market, of the lack of confidence in the ability of the Italian Lira and the Sterling Pound to maintain their parities within the ERM. The assessment is made by comparing the daily data on Italian/English interbank rates with the implicit yield on short-term interest rate futures and with a maximum compatible with the ERM band created by means of German interbank rates and changes in the exchange rates

Keywords: Derivatives; Exchange rates; Volatility (search for similar items in EconPapers)
JEL-codes: F31 G14 (search for similar items in EconPapers)
Date: 1996-09
References: Add references at CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/13360/1/MPRA_paper_13360.pdf original version (application/pdf)

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:pra:mprapa:13360

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:13360