Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials

doi:https://doi.org/10.1007/978-3-642-48666-1_6

Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials

Hermann Garbers-1994-01-01

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TL;DRAbstract

This paper analyses different properties of the Swiss franc/U.S.-$- and the Swiss franc/DM-exchange rate. The first one behaves according to a switching regime model, while the second rate is part of a linear error correction model.

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This paper analyses different properties of the Swiss franc/U.S.-$- and the Swiss franc/DM-exchange rate. The first one behaves according to a switching regime model, while the second rate is part of a linear error correction model.

Keywords

Exchange rateEconometricsEconomicsError correction modelMathematicsMonetary economicsCointegration

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