Is exchange rate risk higher in the ERM after the widening of fluctuation bands?

1. Ayuso Huertas, Juan
2. Pérez Jurado, María
3. Restoy Lozano, Fernando

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English version of the working paper entitled "¿Se ha incrementado el riesgo cambiario en el SME tras la ampliacion de bandas?". This paper proposes an indicator of exchange rate risk for currencies subject to exchange rate regimes which are not perfectly credible. This indicator is applied to several EMS currencies for periods before and after the widening of the fluctuation bands. We find that, contrary to what standard (GARCH-type) estimates suggest, exchange rate risk for currencies that left the ERM is currently higher than for ERM is currently higher than for ERM currencies and also higher than in the period when they belonged to the mechanism.

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