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Measuring Exchange Rate Smoothness across Regimes

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Dewachter, H. Measuring Exchange Rate Smoothness across Regimes. Credit and Capital Markets – Kredit und Kapital, 29(4), 528-544. https://doi.org/10.3790/ccm.29.4.528
Dewachter, Hans "Measuring Exchange Rate Smoothness across Regimes" Credit and Capital Markets – Kredit und Kapital 29.4, 1996, 528-544. https://doi.org/10.3790/ccm.29.4.528
Dewachter, Hans (1996): Measuring Exchange Rate Smoothness across Regimes, in: Credit and Capital Markets – Kredit und Kapital, vol. 29, iss. 4, 528-544, [online] https://doi.org/10.3790/ccm.29.4.528

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Measuring Exchange Rate Smoothness across Regimes

Dewachter, Hans

Credit and Capital Markets – Kredit und Kapital, Vol. 29 (1996), Iss. 4 : pp. 528–544

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Hans Dewachter, Leuven

References

  1. Artis, M. J. and Taylor, M. P. (1988): Exchange Rates and the EMS, Assessing the Track Record, CEPR Discussion Paper, No 250.  Google Scholar
  2. Boothe, P. and Glassman, D. (1987): “The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Applications”, Journal of International Economics 22, 297 - 320.  Google Scholar
  3. Dekkers, A.L.M. and de Haan, L. (1989): On the Estimation of the Extreme Value Index and Large Quantile Estimation, Annals of Statistics, Dec. 1795 - 1832.  Google Scholar

Abstract

This paper proposes a framework to analyse the smoothness of exchange rates across regimes and applies this framework to the ERM rates both quoted against the Deutsche mark and the French franc. It is found that the traditional conclusion that semi-fixed exchange rate regimes decrease the smoothness crucially depends on whether one analyses Deutsche mark rates or French franc rates.