Exchange risk in the EMS: some evidence based on a GARCH model
Date
1995Source
Bulletin of Economic ResearchVolume
47Pages
295-303Google Scholar check
Metadata
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The paper attempts to detect any changes in the exchange risk as measured by the conditional variance of exchange rate changes before and after foundation of the EMS. The analysis is based on estimation of an econometric model in which the conditional variance is allowed to follow an autoregressive pattern. The results indicate a significant decrease in the volatility of the conditional variance and the risk premium for the EMS countries over the EMS period. No such changes are detected for the non-EMS countries. Copyright © 1995, Wiley Blackwell. All rights reserved