Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39249 
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dc.contributor.authorTillmann, Peteren
dc.date.accessioned2010-08-25T11:28:34Z-
dc.date.available2010-08-25T11:28:34Z-
dc.date.issued2001-
dc.identifier.urihttp://hdl.handle.net/10419/39249-
dc.description.abstractOnce you allow for persistence in macroeconomic variables, two aspects of exchange rate credibility emerge whose relative importance can vary over time. Hence, the effect of policy measures on interest rate differentials becomes ambiguous. In this paper, a Markov-switching VAR that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent determination of credibility for major EMS countries. The model separates two regimes that are distinct with respect to the time series properties of the interest rate spread. Regime-dependent impulse response functions reveal substantial differences in the response of spreads to macroeconomic shocks across regimes.en
dc.language.isoengen
dc.publisher|aUniversität zu Köln, Institut für Wirtschaftspolitik (iwp) |cKölnen
dc.relation.ispartofseries|aIWP Discussion Paper |x2001/2en
dc.subject.jelE4en
dc.subject.jelF3en
dc.subject.ddc330en
dc.subject.keywordRegime-switchingen
dc.subject.keywordVARen
dc.subject.keywordinterest rate differentialsen
dc.subject.keywordregimedependent impulse response functionsen
dc.subject.keywordcredibilityen
dc.subject.stwZinsdifferenzen
dc.subject.stwGlaubwürdigkeiten
dc.subject.stwWechselkurssystemen
dc.subject.stwDevisenspekulationen
dc.subject.stwEuropäischer Währungsverbunden
dc.titleThe regime-dependent determination of credibility: A new look at European interest differentials-
dc.type|aWorking Paperen
dc.identifier.ppn378723871en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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