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Evidence on the stationarity of ERM exchange rates

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  • S. Zhou

Abstract

This article applies standard unit root tests to the spot and forward exchange rates of four core members of the European Monetary System participating in the Exchange Rate Mechanism (ERM). In contrast to the findings of most previous studies, the results show strong evidence of stationarity for the ERM rates, for the period when there were no significant realignments in the rates.

Suggested Citation

  • S. Zhou, 2003. "Evidence on the stationarity of ERM exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 231-233.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:4:p:231-233
    DOI: 10.1080/1350485022000044084
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    1. Fred G M C Nieuwland & Willem F C Verschoor & Christian C P Wolff, 1990. "EMS Exchange Rates," CEPR Financial Markets Paper 0002, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 33 Great Sutton Street, London EC1V 0DX..
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    7. Norrbin, S.C., 1993. "Bivariate Cointegration Among European Monetary System Exchange Rates," Working Papers 1993_07_06, Department of Economics, Florida State University.
    8. Anthony, Myrvin & MacDonald, Ronald, 1999. "The width of the band and exchange rate mean-reversion: some further ERM-based results," Journal of International Money and Finance, Elsevier, vol. 18(3), pages 411-428.
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    Cited by:

    1. Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.

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