Target Zones And Interest Rate Variability
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Target Zones And Interest Rate Variability
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Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1990-04-01
Target Zones And Interest Rate Variability written by Mr.Lars E. O. Svensson 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 1990-04-01 with Business & Economics categories.
The trade-off between interest rate variability and the width of an exchange rate target zone is examined, using the regulated Brownian motion model of target zones. The interest rate differential’s asymptotic (unconditional) variability is increasing in the exchange rate band for narrow bands; whereas it is slowly decreasing for wide bands. The interest rate differential’s instantaneous (conditional) variability is decreasing in the exchange rate band. The model is extended to include a realignment/devaluation risk, as well as an endogenous exchange rate risk premium. The risk premium is small for reasonable parameter values.
Target Zones And Realignment Expectations
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Author : Alejandro M. Werner
language : en
Publisher: International Monetary Fund
Release Date : 1995-11-01
Target Zones And Realignment Expectations written by Alejandro M. Werner 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 1995-11-01 with Business & Economics categories.
This paper studies the Mexican and Israeli experience with a target zone. The first part of the paper develops a model of exchange rate determination under a target zone regime with stochastic realignments, and examines the conditions under which the adoption of the target zone, instead of a fixed exchange rate, reduces the volatility of the interest rate differential. We conclude that if the variance of the expected realignment is sufficiently large, then the target zone will be useful. The second part of the paper is an empirical study that shows that the target zone regime helped reduce interest rate variability in Israel and Mexico by absorbing part of the shocks to the expected realignment with movements of the exchange rate inside the band.
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.
An Empirical Exploration Of Exchange Rate Target Zones
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Author : Mr.Robert P. Flood
language : en
Publisher:
Release Date : 1991-02
An Empirical Exploration Of Exchange Rate Target Zones written by Mr.Robert P. Flood and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-02 with Business & Economics categories.
In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of nonlinearities in the relationship between the exchange rates and fundamentals. Many implications of existing “target-zone” exchange rate models are tested; little support is found for existing nonlinear models of limited exchange rate flexibility.
European Monetary Arrangements
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Author : Hali J. Edison
language : en
Publisher:
Release Date : 1994
European Monetary Arrangements written by Hali J. Edison and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Dollar, American categories.
On The Credibility Issue Of Exchange Rate Target Zones
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Author : Matthias Rau-Göhring
language : en
Publisher: diplom.de
Release Date : 2003-04-29
On The Credibility Issue Of Exchange Rate Target Zones written by Matthias Rau-Göhring and has been published by diplom.de this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-29 with Business & Economics categories.
Inhaltsangabe:Zusammenfassung: Währungskrisen, wie die des Europäischen Währungssystems (EWS) 1992, können noch immer nur unzureichend vorausgesagt werden. Es wird jedoch anerkannt, dass die Glaubwürdigkeit eines jeden Währungssystems ausschließlich endogen bestimmt wird, d.h. durch Interaktion der einzelnen Akteure an den Wechselkursmärkten. Die vorliegende Arbeit untersucht, ob ein bestimmtes Glaubwürdigkeitsmaß, eingeführt von Avesani, Gallo und Salmon (1995), geeignet ist, die große EWS Krise 1992 vorauszusagen. Dabei handelt es sich um ein dynamisches Spiel, in dem die beiden Akteure (Zentralbank und Finanzmarkt) miteinander interagieren und damit die Glaubwürdigkeit des Systems aushandeln . Es wird gezeigt, dass o.g. Glaubwürdigkeitsmaß ein geeigneter Indikator für Währungskrisen darstellt, was empirisch anhand des französischen Francs, der italienischen Lira und des niederländischen Guldens nachgewiesen wird. Introduction: The objective of the present study is to present the literature of exchange rate target zones and to explore empirically the Avesani-Gallo-Salmon credibility measure for selected currencies belonging to the Exchange-Rate Mechanism (ERM) of the European Monetary System (EMS). In the past decade the empirical literature on real world target zones mushroomed considerably, but still, its overall significance in explaining strains in the relevant foreign exchange markets remains relatively low. In this context, I will explore whether the Avesani-Gallo-Salmon (1995) credibility measure demonstrates more power than earlier studies in the analysis of the 1992/3 EMS crisis. It is not my intention to pursue a normative analysis whether flexible or fixed exchange rates or intermediate regimes are superior to one another in terms of their economic implications. This question is beyond the scope of my analysis.1 Given that target zones are applied frequently in the real world, I purely want to figure out, whether their application is sensible on grounds of a firm commitment of the policy-makers. Exchange rate bands have been discussed widely after the breakdown of the Bretton Woods System in 1973. Although experiences with the fixed exchange rate regime were disappointing in the 1960s, increased volatility and/or overshooting of the exchange rates in the 1970s let economists doubt the famous argument by Friedman (1953) that speculation would stabilize exchange rate movements in the floating system. McKinnon (1976) reckoned that [...]
Target Zones And Realignments
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Author : Giuseppe Bertola
language : en
Publisher:
Release Date : 1990
Target Zones And Realignments written by Giuseppe Bertola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Commerce categories.
Imf Staff Papers Volume 43 No 3
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Author : International Monetary Fund. Research Dept.
language : en
Publisher: International Monetary Fund
Release Date : 1996-01-01
Imf Staff Papers Volume 43 No 3 written by International Monetary Fund. Research Dept. 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 1996-01-01 with Business & Economics categories.
This paper examines the volatility and predictability of emerging stock markets. A range of measures suggests that, despite perceptions to the contrary, the volatility of emerging markets may have fallen rather than risen on average. Also, although the autocorrelations in emerging market returns appear to turn negative at horizons of a year or more, the magnitude of these return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.
Capital Mobility
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Author : Leonardo Leiderman
language : en
Publisher: Cambridge University Press
Release Date : 1994-07-14
Capital Mobility written by Leonardo Leiderman 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 1994-07-14 with Business & Economics categories.
This edited volume examines capital mobility in both industrialised and developing countries.
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