On the mean-reverting properties of target zone exchange rates: a cautionary note

Authors
Taylor, MP Iannizzotto, M
Citation
Mp. Taylor et M. Iannizzotto, On the mean-reverting properties of target zone exchange rates: a cautionary note, ECON LETT, 71(1), 2001, pp. 117-129
Citations number
20
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
1
Year of publication
2001
Pages
117 - 129
Database
ISI
SICI code
0165-1765(200104)71:1<117:OTMPOT>2.0.ZU;2-8
Abstract
We, estimate a franc-mark target zone model and find a very limited 'honeym oon effect'. Monte Carlo experiments calibrated with the estimates caution against the use of standard linear tests for non-mean reversion as indirect tests of the target zone model. (C) 2001 Published by Elsevier Science B.V .