The Stabilizing Effect of the ERMon Exchange Rates and Interest Rates: An Empirical Investigation
Summary:
This paper applies nonparametric test procedures to test for a shift in the volatility of nominal and real exchange rates for ERM members and nonmembers. The results imply a reduction in volatility for the ERM members, especially during the second half of the period of operation of the ERM. We also demonstrate that this enhanced stability was not bought at the expense of increased interest rate volatility. The issue of interest rate volatility during sterling’s participation in the ERM is also examined.
Series:
Working Paper No. 1993/067
Subject:
Currencies Exchange rates Foreign exchange Money Nominal effective exchange rate Real effective exchange rates Real exchange rates
Notes:
Also published in Staff Papers, Vol. 41, No. 1, March 1994.
English
Publication Date:
August 1, 1993
ISBN/ISSN:
9781451848854/1018-5941
Stock No:
WPIEA0671993
Pages:
30
Please address any questions about this title to publications@imf.org