Mean Reversion in EMS Exchange Rates

Bruce Mizrach ()
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Bruce Mizrach: Rutgers University

Departmental Working Papers from Rutgers University, Department of Economics

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: EMS; target zone; unit roots (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 1996-07-03
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Published in Brussels Economic Review, forthcoming.

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Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:199525

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