| Table 4b | ||||||
| Chronology of the ERM crises regime | ||||||
| (from the first realignment to the widening of the bands) | ||||||
| Date | Mn Rtrn | Cond sd | Smoothed probs | |||
| (% pw) | (% pw) | high | very high | |||
| 12-02-92 | 0,09 | 0,42 | 95% | 5% | ||
| 12-09-92 | -0,39 | 0,37 | 92% | 8% | ||
| 12-16-92 | 0,22 | 0,40 | 89% | 11% | ||
| 12-23-92 | 0,88 | 0,39 | 81% | 19% | ||
| 12-30-92 | 0,39 | 0,54 | 85% | 15% | ||
| 01-06-93 | -0,55 | 0,42 | 84% | 16% | ||
| 01-13-93 | -0,40 | 0,54 | 90% | 10% | ||
| 01-20-93 | 0,37 | 0,45 | 92% | 8% | ||
| 01-27-93 | 0,35 | 0,47 | 94% | 6% | ||
| 02-03-93 | 0,17 | 0,41 | 95% | 5% | ||
| 02-10-93 | 0,16 | 0,37 | 93% | 7% | ||
| 02-17-93 | 0,84 | 0,35 | 87% | 13% | ||
| 02-24-93 | 0,70 | 0,52 | 90% | 10% | ||
| 03-03-93 | -0,23 | 0,46 | 92% | 8% | ||
| 03-10-93 | 0,44 | 0,45 | 94% | 6% | ||
| 03-17-93 | 0,22 | 0,46 | 96% | 3% | ||
| 03-24-93 | 0,40 | 0,39 | 97% | 3% | ||
| 03-31-93 | -0,15 | 0,39 | 97% | 3% | ||
| 04-07-93 | 0,14 | 0,38 | 96% | 3% | ||
| 04-14-93 | 0,04 | 0,36 | 95% | 4% | ||
| 04-21-93 | -0,27 | 0,34 | 90% | 9% | ||
| 04-28-93 | 0,16 | 0,36 | 81% | 19% | ||
| 05-05-93 | -0,10 | 0,35 | 61% | 39% | ||
| 05-12-93 | 0,89 | 0,34 | 10% | 90% | ||
| 05-19-93 | 2,08 | 0,59 | 100% | |||
| 05-26-93 | -0,13 | 0,87 | 100% | |||
| 06-02-93 | 0,92 | 0,73 | 100% | |||
| 06-09-93 | -1,43 | 0,76 | 100% | |||
| 06-16-93 | 0,32 | 0,86 | 2% | 98% | ||
| 06-23-93 | -0,38 | 0,73 | 4% | 96% | ||
| 06-30-93 | 0,48 | 0,67 | 4% | 96% | ||
| 07-07-93 | -0,01 | 0,67 | 4% | 96% | ||
| 07-14-93 | 1,29 | 0,56 | 100% | |||
| 07-21-93 | 1,72 | 0,80 | 100% | |||
| 07-28-93 | 3,00 | 0,80 | 100% | |||
| 08-04-93 | 1,00 | 0,98 | 43% | 57% | ||
| Source: Calculations summarised in Appendix Table 3a in [1999] | ||||||
| Note: other volatility states were negligible. | ||||||
| Probabilities may not add to 100 due to rounding. | ||||||