Publication

Empirical features of the second-generation target zone models: Mean-reverting fundamentals and endogenous devaluation risk

Knot, K. H. W., Dijkstra, T. K. & de Haan, J., Jul-1999, In : Economic Inquiry. 37, 3, p. 489-509 21 p.

Research output: Contribution to journalArticleAcademicpeer-review

APA

Knot, K. H. W., Dijkstra, T. K., & de Haan, J. (1999). Empirical features of the second-generation target zone models: Mean-reverting fundamentals and endogenous devaluation risk. Economic Inquiry, 37(3), 489-509. https://doi.org/10.1111/j.1465-7295.1999.tb01444.x

Author

Knot, K.H.W. ; Dijkstra, T.K. ; de Haan, J. / Empirical features of the second-generation target zone models : Mean-reverting fundamentals and endogenous devaluation risk. In: Economic Inquiry. 1999 ; Vol. 37, No. 3. pp. 489-509.

Harvard

Knot, KHW, Dijkstra, TK & de Haan, J 1999, 'Empirical features of the second-generation target zone models: Mean-reverting fundamentals and endogenous devaluation risk', Economic Inquiry, vol. 37, no. 3, pp. 489-509. https://doi.org/10.1111/j.1465-7295.1999.tb01444.x

Standard

Empirical features of the second-generation target zone models : Mean-reverting fundamentals and endogenous devaluation risk. / Knot, K.H.W.; Dijkstra, T.K.; de Haan, J.

In: Economic Inquiry, Vol. 37, No. 3, 07.1999, p. 489-509.

Research output: Contribution to journalArticleAcademicpeer-review

Vancouver

Knot KHW, Dijkstra TK, de Haan J. Empirical features of the second-generation target zone models: Mean-reverting fundamentals and endogenous devaluation risk. Economic Inquiry. 1999 Jul;37(3):489-509. https://doi.org/10.1111/j.1465-7295.1999.tb01444.x


BibTeX

@article{79b5b2eebf874082896b408c320ef569,
title = "Empirical features of the second-generation target zone models: Mean-reverting fundamentals and endogenous devaluation risk",
abstract = "We show that within Bertola and Svensson's second-generation target zone model, mean-reverting interventions and endogenous devaluation risk are closely interrelated. Over the period 1983-93 we analyze the degree of mean reversion in the underlying fundamental process as well as the term structure of interest rate differentials vis-a-vis Germany for six Exchange Rate Mechanism currencies. For Austria, Denmark and the Netherlands, and for Belgium after 1990 our estimates are broadly in line with the first-generation target zone model, whereas those for France and Italy are in accordance with the model that allows for endogenous devaluation risk. (JEL F31, E43).",
keywords = "INTEREST-RATE DIFFERENTIALS, EXCHANGE-RATE, REALIGNMENTS, EXPECTATIONS, INTERVENTION, REVERSION, EMS",
author = "K.H.W. Knot and T.K. Dijkstra and {de Haan}, J.",
year = "1999",
month = "7",
doi = "10.1111/j.1465-7295.1999.tb01444.x",
language = "English",
volume = "37",
pages = "489--509",
journal = "Economic Inquiry",
issn = "0095-2583",
publisher = "Wiley-Blackwell",
number = "3",

}

RIS

TY - JOUR

T1 - Empirical features of the second-generation target zone models

T2 - Mean-reverting fundamentals and endogenous devaluation risk

AU - Knot, K.H.W.

AU - Dijkstra, T.K.

AU - de Haan, J.

PY - 1999/7

Y1 - 1999/7

N2 - We show that within Bertola and Svensson's second-generation target zone model, mean-reverting interventions and endogenous devaluation risk are closely interrelated. Over the period 1983-93 we analyze the degree of mean reversion in the underlying fundamental process as well as the term structure of interest rate differentials vis-a-vis Germany for six Exchange Rate Mechanism currencies. For Austria, Denmark and the Netherlands, and for Belgium after 1990 our estimates are broadly in line with the first-generation target zone model, whereas those for France and Italy are in accordance with the model that allows for endogenous devaluation risk. (JEL F31, E43).

AB - We show that within Bertola and Svensson's second-generation target zone model, mean-reverting interventions and endogenous devaluation risk are closely interrelated. Over the period 1983-93 we analyze the degree of mean reversion in the underlying fundamental process as well as the term structure of interest rate differentials vis-a-vis Germany for six Exchange Rate Mechanism currencies. For Austria, Denmark and the Netherlands, and for Belgium after 1990 our estimates are broadly in line with the first-generation target zone model, whereas those for France and Italy are in accordance with the model that allows for endogenous devaluation risk. (JEL F31, E43).

KW - INTEREST-RATE DIFFERENTIALS

KW - EXCHANGE-RATE

KW - REALIGNMENTS

KW - EXPECTATIONS

KW - INTERVENTION

KW - REVERSION

KW - EMS

U2 - 10.1111/j.1465-7295.1999.tb01444.x

DO - 10.1111/j.1465-7295.1999.tb01444.x

M3 - Article

VL - 37

SP - 489

EP - 509

JO - Economic Inquiry

JF - Economic Inquiry

SN - 0095-2583

IS - 3

ER -

ID: 761055