Crises and credibility in a target zone: a logit from a Markov-Switching model

• Autores: María Isabel Campos López, María Araceli Rodríguez López
• Localización: Documentos de trabajo FAE ( Universidad de Valladolid. Facultad de Ciencias Económicas y Empresariales ), Nº. 2, 2000, págs. 1-20
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • The 90's could be characterized as a time in which both industrial and emerging countries have suffered important episodes of exchange rate instability; some of these periods have finished with exchange rate devaluations and others, with important exchange rate depreciations. We are interested in knowing and explaining those turbulence moments in order to avoid or event forecast future crises.

    This paper focuses on the study of the different moments of speculative pressures in Europe and particularly on Spanish peseta during the target zone period. We are going to use a binary dependent variable model (logit method) to estimate the readjustment probability in a target zone. Our dependent variable is going to be calculated from a markov-switching model on Spanish-German interest rate differential. We are going to show that this methodology will be appropriated.