Crisis y credibilidad en una zona monetariauna aplicación al caso español

Abstract

The 90's could be characterized as a time in which both developed and emerging countries suffered important episodes of exchange rate instability; some of these periods have resulted in exchange rate devaluations and others, in important exchange rate depreciations. We are interested in explaining such moments of turbulence in order to avoid, or even forecast, future crises. This paper focuses on the study of the different moments of speculative pressure in Europe and particularly on the Spanish peseta during the target zone period. We use a binary dependent variable model (logit method) to estimate the readjustment probability in a target zone. Our dependent variable is calculated from a Markov-Switching model on the Spanish-German interest rate deferential. We show that this methodology is appropriate.