Autori: Lopez, Humberto, Alberola Ila, Enrique, Orts Rios, Vicente
Titolo: An application of the Kalman filter to the Spanish experience in a target zone (1989-92)
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 31 - Pagina iniziale: 1 - Pagina finale: 31

This work presents an empirical analysis of the evolution of the Spanish peseta in the EMS. Previously, the basic target zone model is explained and some extensions introduced. These extensions are the consideration of devaluation risks, capital controls and the possibility of sterilized interventions. The empirical part consists in applying a Kalman filter to the series to obtain an unobserved components decomposition for the interest rate differentials. The empirical evidence does not support the target zone model for Spain: the interest rate differentials have largely reflected realignment risks, rather than exchange rate expectations within the band.





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