ERM realignment risk and its economic determinants as reflected in cross-rate options

• 成果类型: Article
• 署名作者: Campa, JM; Chang, PHK
• 署名单位: New York University; University of Southern California
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/1468-0297.00329
• 发表日期: 1998
• 页码: 1046-1066
• 关键词: target zone credibility; exchange-rate dynamics; devaluation risk

摘要

This paper uses data on over-the-counter options between the mark and the pound, lira, French franc, and peseta to investigate the credibility of exchange I ate target zones within the ERM. We compare empirical implications for the relation between option prices and the spot's position within the band for three classes of target zone models: those with full credibility, those with exogenous realignment risk, and those with endogenous realignment risk. Empirically, implied volatility from these options attains a maximum near the edges of an exchange rate band rather than its centre even three to six months prior to realignment.