62231. |
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62232. |
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62233. |
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62234. |
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62235. |
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62236. |
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62237. |
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62238. |
- Svensson, Lars E.O.
(författare)
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Assessing Target Zone Credibility : Mean Reversion and Devaluation Expectations in the EMS
- 1991
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimation method is simple and operational, and consistently generates sensible results. The estimates are constructed by the adjusting interest rate differentials by subtracting estimated expected rates of depreciation within the exchange rate band. The adjustment is nontrivial because exchange rates within ERM bands display mean reversion rather than random walk (unit root) behavior. The adjustment is essential since expected rates of depreciation within the band are usually of about the same magnitude as interest rate differentials.
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62239. |
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62240. |
- Svensson, Lars E.O.
(författare)
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Does the P* Model Provide any Rationale for Monetary Targeting?
- 1999
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The so-called P* model is frequently used or referred to in discussions of monetary teargeting. This gives the impression that the P* model might provide some rationale for monetary targeting or for the monetary reference value used by the Eurosystem. The P* modelimplies that inflation is determined by the level of and changes in the "real money gap" (the deviation of current real balances from their long-run equilibrium level), and hence that the real money gap is an important indicator for future inflation. Nevertheless, the P* model does not seem to provide any rationale for either a Bundesbank-style money-growth target or a Eurosystem-style money-growth indicator.
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