Klaas Knot
University of Groningen, Faculty of Economics and Business, Faculty Member
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This note focuses on uncovered interest parity (UIP) in the short and medium run using survey-based exchange rate expectations. Analysing the major world currencies over the period 1985-1998 the paper finds that the validity of the UIP... more
This note focuses on uncovered interest parity (UIP) in the short and medium run using survey-based exchange rate expectations. Analysing the major world currencies over the period 1985-1998 the paper finds that the validity of the UIP relation increases with the term of the investment, thereby supporting the theoretical notions developed by literature.
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Using a panel data approach and three different credibility measures, the authors argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the exchange rate mechanism of the... more
Using a panel data approach and three different credibility measures, the authors argue that unemployment, inflation, and budget deficits in participating countries have affected the credibility of the exchange rate mechanism of the European Monetary System. In contrast to most previous research, which focuses upon the credibility of exchange rate policies of individual member states, the analysis focuses upon the
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... International Monetary Fund, Washington, DC 20431, USA Jan-Egbert Sturm ... The critical level for a standard Dickey-Fuller test on a 5% significance level is ¿2.85 for this sample size, so that our test cannot reject the hypothesis... more
... International Monetary Fund, Washington, DC 20431, USA Jan-Egbert Sturm ... The critical level for a standard Dickey-Fuller test on a 5% significance level is ¿2.85 for this sample size, so that our test cannot reject the hypothesis of a unit root in the Italian exchange rate within the ...
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... 11 (1995) 171-187 ELSEVIER Fiscal policy and interest rates in the European Community Klaas Knot, Jakob de Haan * University of ... data, while the estimation outcomes are presented in i See eg Evans (1985), Hoelscher (1986), Tran and... more
... 11 (1995) 171-187 ELSEVIER Fiscal policy and interest rates in the European Community Klaas Knot, Jakob de Haan * University of ... data, while the estimation outcomes are presented in i See eg Evans (1985), Hoelscher (1986), Tran and Sawhney (1988), Allen (1990), De ...
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We show that within Bertola and Svensson's second-generation target zone model, mean-reverting interventions and endogenous devaluation risk are closely interrelated. Over the period 1983-93 we analyze the degree of mean... more
We show that within Bertola and Svensson's second-generation target zone model, mean-reverting interventions and endogenous devaluation risk are closely interrelated. Over the period 1983-93 we analyze the degree of mean reversion in the underlying fundamental process as well as the term structure of interest rate differentials vis-a-vis Germany for six Exchange Rate Mechanism currencies. For Austria, Denmark and the Netherlands,