Regime-switching and interest rates in the European monetary system

Journal of International Economics

Volumn 50, Issue 2, 2000, Pages 399-419

  Dahlquist, Magnus ^a   Gray, Stephen F ^b,c  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Interest rate modeling; Regime shifts; Target zone credibility

Indexed keywords

EUROPEAN MONETARY UNION; EXCHANGE RATE; INTEREST RATE; MONETARY POLICY;

EUROPE;

EID: 0033999364     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(99)00005-7     Document Type: Article

References (29)

1. Bertola G., Caballero R.J. Target zones and realignment. American Economic Review. 82:1992;520-536.
2. Bertola G., Svensson L.E.O. Stochastic devaluation risk and the empirical fit of target-zone models. Review of Economic Studies. 60:1993;689-712.
3. Cai J. A Markov model of unconditional variance in ARCH. Journal of Business and Economic Statistics. 12:1994;309-316.
4. Campa J.M., Chang P.H.K. Arbitrage-based tests of target-zone credibility: evidence from ERM cross-rate options. American Economic Review. 86:1996;726-740.
5. Chan K.C., Karolyi G.A., Longstaff F.A., Sanders A.B. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance. 47:1992;1209-1227.
6. Chen Z., Giovannini A. The determinants of realignment expectations under the EMS: some empirical regularities. European Economic Review. 41:1997;1687-1707.
7. Cox J.C., Ingersoll J.E., Ross S.A. A theory of the term structure of interest rates. Econometrica. 53:1985;385-407.
8. Dahlquist M. On alternative interest rate processes. Journal of Banking and Finance. 20:1996;1093-1119.
9. Diebold F.X., Lee J.-H., Weinbach G.C. Regime switching with time-varying transition probabilities. Hargreaves C.P. Nonstationary Time Series Analysis and Cointegration. 1994;283-302 Oxford University Press, Oxford.
10. Duffie D., Kan R. A yield-factor model of interest rates. Mathematical Finance. 6:1996;379-406.
11. Engel C., Hakkio C.S. The distribution of the exchange rate in the EMS. International Journal of Finance and Economics. 1:1996;55-67.
12. Filardo A.J. Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics. 12:1994;299-308.
13. Flood R.P., Rose A.K., Mathieson D.J. An empirical exploration of exchange-rate target-zones. Carnegie-Rochester Series on Public Policy. 3:1991;57-65.
14. Gray S.F. Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics. 42:1996;27-62.
15. Hadi A.S. Identifying multiple outliers in multivariate data. Journal of Royal Statistical Society, Series B. 54:1992;761-771.
16. Hadi A.S. A modification of a method for the detection of outliers in multivariate samples. Journal of Royal Statistical Society, Series B. 56:1994;393-396.
17. Hamilton J.D. Rational expectations econometric analysis of changes in regime: an investigation of the term structure of interest rates. Journal of Economic Dynamics and Control. 12:1988;385-423.
18. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica. 57:1989;357-384.
19. Hamilton J.D. Analysis of time series subject to changes in regime. Journal of Econometrics. 4:1990;539-570.
20. Hamilton J.D. Time Series Analysis. 1994;Princeton University Press, Princeton.
21. Hansen B.E. The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics. 7:1992;S61-S82.
22. Hansen L.P. Large sample properties of generalized method of moment estimators. Econometrica. 50:1982;1029-1054.
23. Krugman P. Target zones and exchange rate dynamics. Quarterly Journal of Economics. 106:1991;669-682.
24. Lindberg H., Söderlind P. Testing the basic target zone model on Swedish data 1982-1990. European Economic Review. 38:1994;1441-1469.
25. Malz A.M. Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark. Journal of International Money and Finance. 15:1996;717-748.
26. Rose A.K., Svensson L.E.O. European exchange rate credibility before the fall. European Economic Review. 38:1994;1185-1216.
27. Rose A.K., Svensson L.E.O. Expected and predicted realignments: the FF/DM exchange rate during the EMS, 1979-93. Scandinavian Journal of Economics. 97:1995;173-200.
28. Svensson L.E.O. Assessing target zone credibility: mean reversion and devaluation expectations in the ERM, 1979-1992. European Economic Review. 37:1993;763-802.
29. Tabellini G. Comments on 'European exchange rate credibility before the fall' by A.K. Rose and L.E.O. Svensson. European Economic Review. 38:1994;1221-1223.