SHERP

Impact of EMS Membership on Its Nominal Exchange Rate Volatility

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Authors
Hong, Kabsoo
Issue Date
1992
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 5 (No. 1 1992): 51-74
Keywords
European Monetary System; EMS; D-Mark; EMS Currency
Abstract
This paper analyzes the exchange rate volatility after EMS was formed to stabilize bilateral nominal exchange rates among member countries. The analysis compares the exchange rate volatilities before and after the advent of the EMS, comparing members' currency volatilities with non-EMS currency volatilities. Multivariate GARCH models as well as univariate GARCH models indicate that since March, 1979 the existence of the EMS has coincided with a marked reduction in the volatilities of exchange rates within the EMS. However, in the EMS versus non-EMS cases, or between-non-EMS currency cases, some countries show at least constant volatilities, even after March, 1979. This somewhat weakens claims that the reduction in volatility of inter-EMS currency rates has been a result of the creation of the system alone.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/945
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.05(1) (Spring 1992)
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