Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/83495 |
Resumo: | For Portugal, the transition to the Euro began in September 1989 and featured three successive institutional arrangement related to the Exchange Rate Mechanism of the European Monetary System: shadowing it, belonging to it with 6% and then with 15% fluctuation bands. Using daily data, we study how the degree of mean reversion of the exchange rate and central bank intervention reflect the change in economic regime towards stability and convertibility. Our Markov regime-switching framework with an EGARCH specification allows for deviations from central parity and intervention to affect the mean, the conditional variance and the state transition probabilities in the different policy regimes. Mean reversion is significant even when volatility is high in ERM-6, unlike central bank intervention, which almost disappears in ERM-15. Intervention affects the mean and the variance of the exchange rate when volatility is low, and the variance in ERM-S, even whem volatility is high. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERMCentral Bank InterventionTarget ZonesExchange Rate MechanismRegime-SwitchingFor Portugal, the transition to the Euro began in September 1989 and featured three successive institutional arrangement related to the Exchange Rate Mechanism of the European Monetary System: shadowing it, belonging to it with 6% and then with 15% fluctuation bands. Using daily data, we study how the degree of mean reversion of the exchange rate and central bank intervention reflect the change in economic regime towards stability and convertibility. Our Markov regime-switching framework with an EGARCH specification allows for deviations from central parity and intervention to affect the mean, the conditional variance and the state transition probabilities in the different policy regimes. Mean reversion is significant even when volatility is high in ERM-6, unlike central bank intervention, which almost disappears in ERM-15. Intervention affects the mean and the variance of the exchange rate when volatility is low, and the variance in ERM-S, even whem volatility is high.Nova SBERUNBraga de Macedo, JorgeNunes, Luis CatelaBrites Pereira, Luis2019-10-07T12:20:08Z2003-09-162003-09-16T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/83495engBraga de Macedo, Jorge, Nunes, Luís C. and Brites-Pereira, Luís, Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM (Septemebr, 2003). FEUNL Working Paper Series No. 435info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:37:13Zoai:run.unl.pt:10362/83495Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:36:19.578865Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
title |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
spellingShingle |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM Braga de Macedo, Jorge Central Bank Intervention Target Zones Exchange Rate Mechanism Regime-Switching |
title_short |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
title_full |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
title_fullStr |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
title_full_unstemmed |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
title_sort |
Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM |
author |
Braga de Macedo, Jorge |
author_facet |
Braga de Macedo, Jorge Nunes, Luis Catela Brites Pereira, Luis |
author_role |
author |
author2 |
Nunes, Luis Catela Brites Pereira, Luis |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
RUN |
dc.contributor.author.fl_str_mv |
Braga de Macedo, Jorge Nunes, Luis Catela Brites Pereira, Luis |
dc.subject.por.fl_str_mv |
Central Bank Intervention Target Zones Exchange Rate Mechanism Regime-Switching |
topic |
Central Bank Intervention Target Zones Exchange Rate Mechanism Regime-Switching |
description |
For Portugal, the transition to the Euro began in September 1989 and featured three successive institutional arrangement related to the Exchange Rate Mechanism of the European Monetary System: shadowing it, belonging to it with 6% and then with 15% fluctuation bands. Using daily data, we study how the degree of mean reversion of the exchange rate and central bank intervention reflect the change in economic regime towards stability and convertibility. Our Markov regime-switching framework with an EGARCH specification allows for deviations from central parity and intervention to affect the mean, the conditional variance and the state transition probabilities in the different policy regimes. Mean reversion is significant even when volatility is high in ERM-6, unlike central bank intervention, which almost disappears in ERM-15. Intervention affects the mean and the variance of the exchange rate when volatility is low, and the variance in ERM-S, even whem volatility is high. |
publishDate |
2003 |
dc.date.none.fl_str_mv |
2003-09-16 2003-09-16T00:00:00Z 2019-10-07T12:20:08Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/83495 |
url |
http://hdl.handle.net/10362/83495 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Braga de Macedo, Jorge, Nunes, Luís C. and Brites-Pereira, Luís, Central Bank Intervention Under Target Zones: the Portuguese Escudo in the ERM (Septemebr, 2003). FEUNL Working Paper Series No. 435 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Nova SBE |
publisher.none.fl_str_mv |
Nova SBE |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137982286921728 |