Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/11737
DC FieldValueLanguage
dc.contributor.authorDuarte, António Portugal-
dc.contributor.authorAndrade, João Sousa-
dc.contributor.authorDuarte, Adelaide-
dc.date.accessioned2009-10-15T15:29:20Z-
dc.date.available2009-10-15T15:29:20Z-
dc.date.issued2008-
dc.identifier.citationEstudos do GEMF. 3 (2008)en_US
dc.identifier.urihttp://hdl.handle.net/10316/11737-
dc.description.abstractThis work examines the participation of the Portuguese economy in the ERM of the EMS based on some of the main predictions of the target zone literature. The exchange rate distribution reveals that the majority of the observations lie close to the central parity, thus rejecting one of the key predictions of the Krugman (1991) model. Using a M-GARCH model however we confirm that there is a trade-off between exchange rate volatility and interest rates differential volatility. These results express the increased credibility of the Portuguese monetary policy, due manly to the modernisation of the banking and financial system and to the progress made in terms of the disinflation process under an exchange rate target zone policy. In accordance to these results we can say that the participation of the Portuguese escudo in an exchange rate target zone was crucial to create the conditions of stability, credibility and confidence necessary for the adoption of a single currency.en_US
dc.language.isoengen_US
dc.publisherFEUC. Grupo de Estudos Monetários e Financeirosen_US
dc.rightsopenAccessen_US
dc.subjectCredibilityen_US
dc.subjectExchange rate stabilityen_US
dc.subjectM-GARCHen_US
dc.subjectERMen_US
dc.subjectEMSen_US
dc.subjectVolatility and target zonesen_US
dc.titleExchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Caseen_US
dc.typeworkingPaperen_US
uc.controloAutoridadeSim-
item.languageiso639-1en-
item.fulltextCom Texto completo-
item.grantfulltextopen-
crisitem.author.deptFaculdade de Economia, Universidade de Coimbra-
crisitem.author.deptFaculdade de Economia, Universidade de Coimbra-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.orcid0000-0003-0999-2264-
crisitem.author.orcid0000-0002-6585-2744-
Appears in Collections:FEUC- Vários
Files in This Item:
File Description SizeFormat
Exchange Rate and Interest Rate Volatility.pdf443.74 kBAdobe PDFView/Open
Show simple item record

Page view(s) 50

429
checked on Dec 5, 2019

Download(s) 10

1,134
checked on Dec 5, 2019

Google ScholarTM

Check


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.