caa a22 4500 477092160 CHVBK 20180405111518.0 cr unu---uuuuu 170330e19960401xx s 000 0 eng 10.1007/BF02589582 doi (NATIONALLICENCE)springer-10.1007/BF02589582 Cavaliere Giuseppe Dipartimento di Scienze Statistiche, Università degli Studi di Bologna, Via delle Belle Arti 41, 40126, Bologna, Italy aut Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system [Elektronische Daten] [Giuseppe Cavaliere] Summary: In several studies the unit root hypothesis of EMS exchange rates is analysed within the context of devaluation expectations estimation. By means of bootstrap inference it is shown that these procedures are not compatible with standard Dickey-Fuller significance levels and may lead to a wrong rejection of the null hypothesis. In the case of the Italian Lira/Deutsche Mark exchange rate, the hypothesis of a unit root is not rejected and expectations can be modelled by means of a reflected Brownian motion. The estimated devaluation expectations are related with some macro variables which provide evidence for the structure of expectations. Società Italiana di Statistica, 1996 Devaluation expectations nationallicence Unit root hypothesis nationallicence Reflected Brownian motion nationallicence Bootstrap inference nationallicence Drift-adjustment method nationallicence Journal of the Italian Statistical Society Springer-Verlag 5/1(1996-04-01), 39-71 1121-9130 5:1<39 1996 5 10260 https://doi.org/10.1007/BF02589582 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF02589582 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Cavaliere Giuseppe Dipartimento di Scienze Statistiche, Università degli Studi di Bologna, Via delle Belle Arti 41, 40126, Bologna, Italy aut NATIONALLICENCE 773 0- Journal of the Italian Statistical Society Springer-Verlag 5/1(1996-04-01), 39-71 1121-9130 5:1<39 1996 5 10260 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer