The Stabilizing Effect of the ERMon Exchange Rates and Interest Rates : An Empirical Investigation /

This paper applies nonparametric test procedures to test for a shift in the volatility of nominal and real exchange rates for ERM members and nonmembers. The results imply a reduction in volatility for the ERM members, especially during the second half of the period of operation of the ERM. We also...

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Bibliographic Details
Main Author: Artis, Michael
Other Authors: Taylor, Mark
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 1993.
Series:IMF Working Papers; Working Paper ; No. 1993/067
Online Access:Full text available on IMF
Description
Summary:This paper applies nonparametric test procedures to test for a shift in the volatility of nominal and real exchange rates for ERM members and nonmembers. The results imply a reduction in volatility for the ERM members, especially during the second half of the period of operation of the ERM. We also demonstrate that this enhanced stability was not bought at the expense of increased interest rate volatility. The issue of interest rate volatility during sterling's participation in the ERM is also examined.
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Physical Description:1 online resource (30 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Access:Electronic access restricted to authorized BRAC University faculty, staff and students