Journalartikel

Jahr der Veröffentlichung: 2001

Seiten: 1553-1562

Zeitschrift: Applied Economics

Bandnummer: 33

Heftnummer: 12

ISSN: 0003-6846

eISSN: 1466-4283

DOI Link: https://doi.org/10.1080/00036840010012942

Verlag: Taylor and Francis Group

Abstract: 
Since the start of the European Monetary Union (EMU) in January 1999, the DM has depreciated considerably against the currencies of major industrial countries. Whether there is a systematic failure of vector autoregressive (VAR) models fitted to the pre-EMU period to predict forward looking variables in the year 1999 is investigated. Conditional forecasts are used in order to capture the potential effects of real shocks and to assess the ECB's reaction to these shocks. The findings suggest that neither real shocks nor the actual ECB-policy reaction can explain the exchange-rate devaluation. This points to important effects of increased uncertainty following the regime shift resulting in an increased risk premium in the foreign exchange market.

Harvard-Zitierstil: Anker, P. (2001) ECB monetary policy and the DM-dollar exchange rate: evidence from a Bayesian VAR, Applied Economics, 33(12), pp. 1553-1562. https://doi.org/10.1080/00036840010012942

APA-Zitierstil: Anker, P. (2001). ECB monetary policy and the DM-dollar exchange rate: evidence from a Bayesian VAR. Applied Economics. 33(12), 1553-1562. https://doi.org/10.1080/00036840010012942