The exchange rate crisis of September 1992 and the pricing of Italian financial futures

This study examines mean and volatility linkages between the UK domestic and Europound interest rates during the 1983-2002 period. Recursive cointegration analysis identifies a structural break in the long-run relationship between the domestic and Europound rates around the September 1992 European currency crisis. Further subperiod analysis clearly shows that there exists feedback between the UK domestic and Europound rates during both subperiods and that both mean and volatility linkages have been weakened after the 1992 crisis.

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The exchange rate crisis of September 1992 and the pricing of Italian financial futures

Cited by 2 publications

References 28 publications

Price discovery and changes in regimes for stock index futures

Price discovery and changes in regimes for stock index futures

Information transmission between Eurocurrency and domestic interest rates: evidence from the UK

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