Macroeconomic instability in the European monetary system?

References

• Andrews , D . 1993 . Test for parameter instability and structural change with unknown change point . Econometrica , 61 : 821 – 56 .
   Web of Science ®Google Scholar
• Andrews , D and Ploberger , W . 1994 . Optimal tests when a nuisance parameter is present only under the alternative . Econometrica , 62 : 1383 – 414 .
   Web of Science ®Google Scholar
• Artis , MJ and Taylor , MP . 1989 . The achievements of the EMS . Economic and Social Review , 20 : 121 – 45 .
   Web of Science ®Google Scholar
• Artis , MJ and Taylor , MP . 1994 . The stabilizing effect of the ERM on exchange rates and interest rates: some nonparametric tests . IMF Staff Papers , 41 : 123 – 48 .
   Google Scholar
• Ayuso , J . 1995 . Is there a trade-off between exchange rate risk and interest rate risk? Bank of Spain Working Paper 9529
   Google Scholar
• Ayuso , J , Pérez-Jurado , M and Restoy , F . 1994 . Is exchange rate risk higher in the E.R.M. after the widening of fluctuation bands? Bank of Spain Working Paper 9419
   Google Scholar
• Bai , J and Perron , P . 1998 . Estimating and Testing Linear Models with Multiple Structural Changes . Econometrica , 66 : 47 – 78 .
   Web of Science ®Google Scholar
• Bai , J and Perron , P . 2003 . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
   Web of Science ®Google Scholar
• Baxter , M and Stockman , AC . 1989 . Business cycles and the exchange rate regime: some international evidence . Journal of Monetary Economics , 23 : 377 – 400 .
   Web of Science ®Google Scholar
• Berger , H , de Haan , J and Sturm , JE . 2000 . An empirical investigation into exchange rate choice and exchange rate volatility CESifo Working Paper 263
   Google Scholar
• Bollerslev , T . 1990 . Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model . Review of Economics and Statistics , 72 : 498 – 505 .
   Web of Science ®Google Scholar
• Braga de Macedo , JC , ohen , D and Reisen , H . 2001 . Don´t Fix, Don´t Float , Paris : Development Centre Studies, Organisation for Economic Co-operation and Development .
   Google Scholar
• De Grauwe , P . 2000 . Economics of Monetary Union , Fourth , Oxford : Oxford University Press .
   Google Scholar
• De Grauwe , P , Dewachter , H and Veestraeten , D . 1999 . Explaining recent European exchange-rate stability . International Finance , 2 : 1 – 31 .
   Google Scholar
• Devereux , M and Engle , C . 1998 . Fixed vs how price affect the optimal choice of exchange-rate regime floating exchange rates , NBER Working Paper 6867
   Google Scholar
• Dornbusch , R . 1983 . Flexible exchange rates and interdependence . IMF Staff Papers , 30 : 3 – 30 .
   Google Scholar
• Flood , RP and Hodrick , RJ . 1986 . Real aspects of exchange rate regime choice with collapsing fixed rates . Journal of International Economics , 21 : 215 – 32 .
   Web of Science ®Google Scholar
• Flood , RP and Rose , AK . 1995 . Fixing exchange rates: a virtual quest for fundamentals . Journal of Monetary Economics , 36 : 3 – 37 .
   Web of Science ®Google Scholar
• Fratianni , M and von Hagen , J . 1990 . The European monetary system ten years after . Carnegie-Rochester Conference Series on Public Policy , 39 : 221 – 381 .
   Google Scholar
• Frenkel , JA and Mussa , ML . 1980 . The efficiency of the foreign exchange market and measures of turbulence . American Economic Association Papers and Proceedings , 70 : 374 – 81 .
   Web of Science ®Google Scholar
• Frömmel , M and Menkhoff , L . 2003 . Increasing exchange rate volatility during the recent float . Applied Financial Economics , 13 : 857 – 63 .
   Google Scholar
• Ghosh , AR , Gulde , AM , Ostry , JD and Wolf , HC . 1997 . Does the nominal exchange rate regime matter? NBER Working Paper No. 5874
   Google Scholar
• Giavazzi , F and Giovannini , A . 1989 . Limiting Exchange Rate Flexibility , Cambridge, , Mass : The MIT Press .
   Google Scholar
• Hansen , BE . 1997 . Approximate asymptotic p values for structural-change tests . Journal of Business and Economic Statistics , 15 : 60 – 7 .
   Web of Science ®Google Scholar
• Hu , MY , Jiang , CX and Tsoukalas , C . 1997 . The European exchange rates before and after the establishment of the European monetary system . Journal of International Financial Markets, Institutions and Money , 7 : 235 – 53 .
   Google Scholar
• Hu , MY , Jiang , CX and Tsoukalas , C . 2004 . The volatility impact of the European monetary system on member and non-member currencies . Applied Financial Economics , 14 : 313 – 25 .
   Google Scholar
• Inclan , C and Tiao , GC . 1994 . Use of cumulative sums of squares for retrospective detection of changes of variance . Journal of American Statistical Association , 89 : 913 – 23 .
   Web of Science ®Google Scholar
• Ledesma-Rodríguez , F , Navarro-Ibáñez , M , Pérez-Rodríguez , J and Sosvilla-Rivero , S . 2005 . Assessing the credibility of a target zone: evidence from the EMS . Applied Economics , 37 : 2265 – 87 .
   Web of Science ®Google Scholar
• Liu , JS , Wu , S and Zidek , JV . 1997 . On segmented multivariate regressions . Statistica Sinica , 7 : 497 – 525 .
   Web of Science ®Google Scholar
• Marston , RC . 1985 . “ Stabilization policies in open economies ” . In Handbook of International Economics , Edited by: Jones , RW and Kenen , PB . Vol. 2 , 859 – 916 . Amsterdam : North-Holland .
   Google Scholar
• Melvin , M . 1985 . The choice of an exchange rate regime and the macroeconomic stability . Journal of Money, Credit and Banking , 17 : 467 – 78 .
   Web of Science ®Google Scholar
• Quandt , RE . 1960 . Tests of the hypothesis that a linear regression system obeys two separate regimes . Journal of American Statistical Association , 55 : 324 – 30 .
   Web of Science ®Google Scholar
• Sansó , A , Aragó , V and Carrión , JL . 2004 . Testing for changes in the unconditional variance of financial time series . Revista de Economía Financiera , 4 : 32 – 53 .
   Google Scholar
• Sarno , L . 1997 . Exchange rate and interest rate volatility in the European monetary system: some further results . Applied Financial Economics , 7 : 255 – 63 .
   Google Scholar
• Sosvilla-Rivero , S and Pérez-Bermejo , F . 2006 . “ Credibility and duration in target zones: evidence from the EMS ” . In International Macroeconomics , Edited by: Morales-Zumaquero , A . New York : Nova Science Publishers .
   Google Scholar
• Sosvilla-Rivero , S , Fernández-Rodríguez , F and Bajo-Rubio , O . 1999 . Exchange rate volatility in the EMS before and after the fall . Applied Economics Letters , 6 : 717 – 22 .
   Web of Science ®Google Scholar
• Stock , JH and Watson , MW . 2002 . Has the business cycle changed and why? NBER Working Paper 9127
   Google Scholar
• Valentinyi-Endrész , M . 2004 . Structural breaks and financial risk management MNB Working Paper 11
   Google Scholar
• Yao , Y-C . 1988 . Estimating the number of change-points via Schwarz's criterion . Statistics and Probability Letters , 6 : 181 – 9 .
   Web of Science ®Google Scholar