Exchange Rate Bands With Point Process Fundamentals

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Exchange Rate Bands With Point Process Fundamentals

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Author : Mr.W. R. M. Perraudin
language : en
Publisher: International Monetary Fund
Release Date : 1990-11-01

Exchange Rate Bands With Point Process Fundamentals written by Mr.W. R. M. Perraudin and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-11-01 with Business & Economics categories.

This note derives closed form solutions for exchange rates in terms of fundamentals within a fully credible band exchange rate regime when the fundamentals are driven by Brownian motion and multiple point processes. The inclusion of point processes allows one to relax quite substantially the distributional assumptions about exchange rates implicit in models based on Brownian motions alone, and should therefore prove of use in empirical applications. Models with discontinuous driving processes also differ from the Brownian motion model in that monetary authorities will be obliged periodically to intervene on a large scale in discrete amounts.

Handbook Of International Economics

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Author : G.M. Grossman
language : en
Publisher: Elsevier
Release Date : 1997-10-24

Handbook Of International Economics written by G.M. Grossman and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-10-24 with Business & Economics categories.

Handbook of International Economics

Exchange Rate Targets And Currency Bands

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Author : Paul Krugman
language : en
Publisher: Cambridge University Press
Release Date : 1992-10-22

Exchange Rate Targets And Currency Bands written by Paul Krugman and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-10-22 with Business & Economics categories.

This volume examines the intersection between a new analytical approach and a real economic problem.

Imf Working Paper

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Author :
language : en
Publisher:
Release Date : 1992

Imf Working Paper written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Finance categories.

The Operation And Collapse Of Fixed Exchange Rate Regimes

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Author : Peter M. Garber
language : en
Publisher:
Release Date : 1994

The Operation And Collapse Of Fixed Exchange Rate Regimes written by Peter M. Garber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Foreign exchange rates categories.

The paper reviews the recent literature on exchange rate target zones and on speculative attacks on fixed exchange rates. The influential Krugman model of exchange rate target zones has two main results, namely that credible target zones stabilize exchange rates more than fundamentals (the `honeymoon effect') and that exchange rates depend on fundamentals according to a nonlinear `S-curve' with `smooth pasting.' Almost all the model's empirical implications have been overwhelmingly rejected. Later research has reconciled the theory with empirical results by allowing for imperfectly credible exchange rates and for intra-marginal central bank interventions. That research has also shown that non-linearities and smooth pasting are probably empirically insignificant and that a linear managed-float model is a good approximation to exchange rate target zones. The speculative attack literature has developed models built on the principles of no anticipated price discontinuities, endogenous timing of the speculative attack, and the attack occurring when a finite amount of foreign exchange reserves remain. These models have been extended to include random timing of attacks and alternative post attack regimes. Some empirical tests have been undertaken. In contrast to target zone models, speculative attack models have been influenced by empirical results only to a small extent.

The Macroeconomic Theory Of Exchange Rate Crises

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Author : Giovanni Piersanti
language : en
Publisher: Oxford University Press
Release Date : 2012-04-26

The Macroeconomic Theory Of Exchange Rate Crises written by Giovanni Piersanti and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-26 with Business & Economics categories.

An overview of the causes and consequences of speculative attacks on domestic currency and international financial turmoil. It provides a comprehensive treatment of the existing theories of exchange rate crises and of financial market runs.

Journal Of International Economics

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Author :
language : en
Publisher:
Release Date : 1994

Journal Of International Economics written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Commerce categories.

Target Zones And Forward Rates In A Model With Repeated Realignments

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Author : Mr.Leonardo Bartolini
language : en
Publisher: International Monetary Fund
Release Date : 1992-03-01

Target Zones And Forward Rates In A Model With Repeated Realignments written by Mr.Leonardo Bartolini and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-03-01 with Business & Economics categories.

This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band. The credibility of the commitment to the target zone implicit in forward market data can be extracted by estimating the model. Application to French/German data indicates that the model is capable of matching observed patterns of interest rate differentials during the EMS, while yielding estimates of the credibility parameters that accord with the experience of the FF/DM exchange rate during the 1980s.

Journal Of International Money And Finance

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Author :
language : en
Publisher:
Release Date : 2001

Journal Of International Money And Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk

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Author : Lars E. O. Svensson
language : en
Publisher:
Release Date : 1991

The Foreign Exchange Risk Premium In A Target Zone With Devaluation Risk written by Lars E. O. Svensson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Foreign exchange categories.