EXCHANGE-RATE AND INTEREST-RATE POLARIZATION

被引:0
|
作者
CHERUBINI, U
CIAMPOLINI, M
HAMAUI, R
SIRONI, A
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关键词
D O I
10.1007/BF02707875
中图分类号
F [经济];
学科分类号
02 ;
摘要
The relationship between the polarization phenomenon in foreign exhange markets and a similar regularity in interest rate differentials is considered. In the case of perfect substitutability and of perfect foresight, both polarizations would be perfectly complementary. Risk premia and forecast errors, however, might induce some degree of substitutability between the two concepts. Throughout almost the entire EMS experience, in France and Italy both phenomena appear to be equivalent. At the end of the 80s, however, interest rate polarization has surged at the expense of exchange rate polarization. In fact, a bias in estimates was found to explain this recent behaviour.
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页码:651 / 661
页数:11
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