Idioma:

Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models

Bertola, Giuseppe ; Svensson, Lars E. O.

The Review of economic studies, 1993-07, Vol.60 (3), p.689-712 [Periódico revisado por pares]

Texto completo disponível

Citações Citado por

Título:
Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
Autor: Bertola, Giuseppe ; Svensson, Lars E. O.
Assuntos: Depreciation ; Differentials ; Economic fluctuations ; Economic models ; Exchange rates ; Foreign exchange rates ; Interest rate risk ; Interest rates ; Stochastic models ; Working papers
É parte de: The Review of economic studies, 1993-07, Vol.60 (3), p.689-712
Notas: ark:/67375/HXZ-DVMPDTLT-T
istex:6088AA59B847075C7A9205AB8D90F243C890BF5A
Descrição: A time-varying stochastic devaluation risk is introduced in a model of exchange rate target zones. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, which previous target zone models have been unable to do. A “drift adjustment” method to estimate devaluation expectations from data is suggested.
Editor: Oxford, etc: Wiley-Blackwell
Idioma: Inglês

Voltar para lista de resultados