Ozkan, F.G. (2003) Explaining ERM realignments: insights from optimising models of currency crises. Journal of Macroeconomics, 25 (4). pp. 491-507. ISSN 0164-0704
This paper attempts to provide empirical evidence on the determinants of the realignments throughout the European exchange rate mechanism (ERM). Motivated by the implications of optimising currency crisis models, we relate the probability of “crises” to a set of macroeconomic fundamentals. By using a conditional binominal logit model we show that regime switches are strongly influenced by movements in industrial production, foreign interest rates, competitiveness and imports as well as in foreign exchange reserves. These findings are consistent with the general propositions of recent currency crises models.
|Institution:||The University of York|
|Academic Units:||The University of York > Economics and Related Studies (York)|
|Depositing User:||York RAE Import|
|Date Deposited:||22 Apr 2009 09:52|
|Last Modified:||22 Apr 2009 09:52|