The regime-dependent determination of credibility: a new look at European interest rate differentials - Research portal of Justus Liebig University Giessen:

Journal article

The regime-dependent determination of credibility: a new look at European interest rate differentials

Authors list: Tillmann, P

Publication year: 2003

Pages: 409-431

Journal: German Economic Review

Volume number: 4

Issue number: 4

DOI Link: https://doi.org/10.1111/j.1465-6485.2003.00087.x

Publisher: De Gruyter Brill

Abstract:

With persistence in macroeconomic variables two aspects of exchangerate credibility emerge whose relative importance varies over time. Both aspects haveopposite implications for the relation between fundamentals and credibility. Hence,the effect of policy measures on interest rate differentials becomes ambiguous. In thispaper a Markov-switching VAR that allows for parameter shifts across regimes isemployed to test the hypothesis of regime-dependent determination of credibilityfor major EMS currencies. Regime-dependent impulse response functions revealsubstantial differences in the response of spreads to macroeconomic shocks acrossregimes.

Authors/Editors

- Uni.-Prof. Dr. Peter Heinrich Tillmann

Citation Styles

Harvard Citation style: Tillmann, P. (2003) The regime-dependent determination of credibility: a new look at European interest rate differentials, German Economic Review, 4(4), pp. 409-431. https://doi.org/10.1111/j.1465-6485.2003.00087.x

APA Citation style: Tillmann, P. (2003). The regime-dependent determination of credibility: a new look at European interest rate differentials. German Economic Review. 4(4), 409-431. https://doi.org/10.1111/j.1465-6485.2003.00087.x