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The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations Abstract Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model confirms that the exchange rate exhibits target zone dynamics consistent with a band of approximately 0.75% around its unconditional mean. We conclude that the Danmark Nationalbank intervention policy of intra-marginal operations successfully managed an informal target zone in the foreign exchange market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations

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Publisher
de Gruyter
Copyright
Copyright © 2013 by the
ISSN
1081-1826
eISSN
1558-3708
DOI
10.1515/snde-2012-0016
Publisher site
See Article on Publisher Site

Abstract

Abstract Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model confirms that the exchange rate exhibits target zone dynamics consistent with a band of approximately 0.75% around its unconditional mean. We conclude that the Danmark Nationalbank intervention policy of intra-marginal operations successfully managed an informal target zone in the foreign exchange market.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: May 1, 2013

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