Virtual and Composite Fundamentals in the ERM
采用潜变量方法识别欧洲汇率机制中驱动汇率的基本面过程，发现虚拟和复合基本面具有显著均值回归特性，且回归程度与各国经济一体化程度及汇率政策可信度密切相关。
A latent‐variable approach is applied to identify the appropriate driving process for fundamental exchange rates in the ERM. From the time‐series characteristics of so‐called “virtual fundamentals” and “composite fundamentals”, a significant degree of mean reversion can be asserted. The relative degree of mean reversion across countries closely corresponds to often assumed degrees of economic integration vis‐a‐vis Germany as well as documented degrees of credibility of the exchange rate policies pursued. Convergence in fundamentals appears to be larger under the “new” EMS than in the previous years, but has again diminished after German unification and the subsequent widening of the ERM bands in 1993.