Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39249
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dc.contributor.authorTillmann, Peteren_US
dc.date.accessioned2010-08-25T11:28:34Z-
dc.date.available2010-08-25T11:28:34Z-
dc.date.issued2001en_US
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_US
dc.language.isoengen_US
dc.publisher|aUniversität zu Köln, Institut für Wirtschaftspolitik (iwp) |cKölnen_US
dc.relation.ispartofseries|aIWP Discussion Paper |x2001/2en_US
dc.subject.jelE4en_US
dc.subject.jelF3en_US
dc.subject.ddc330en_US
dc.subject.keywordRegime-switchingen_US
dc.subject.keywordVARen_US
dc.subject.keywordinterest rate differentialsen_US
dc.subject.keywordregimedependent impulse response functionsen_US
dc.subject.keywordcredibilityen_US
dc.subject.stwZinsdifferenzen_US
dc.subject.stwGlaubwürdigkeiten_US
dc.subject.stwWechselkurssystemen_US
dc.subject.stwDevisenspekulationen_US
dc.subject.stwEuropäischer Währungsverbunden_US
dc.titleThe regime-dependent determination of credibility: A new look at European interest differentialsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn378723871en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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