Download or read book Exchange Rate Target Zones and Regime Switches in a Stochastic Environment written by Alan James Sutherland and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Distributional Approach to Exchange Rate Target Zones written by Colin Rose and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stochastic Exchange Rate Regime Switching written by Patrick Georges and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this thesis is to study the operation of exchange rate regimes in the context of possible regime switches. An intuitive survey of the regime switching literature is given in Chapter 1, and three independent essays are presented in Chapters 2, 3, and 4. Using the theory of regulated Brownian motion, Chapter 2 derives the nonlinear relationship between the nominal exchange rate and its fundamentals during the transition period from the current free-float to a specified target zone (TZ), triggered at an announced state-dependent switch. It is shown that the derived nonlinear relationship is in general different from the relationship corresponding to a return to a fixed exchange rate regime. This is due to a "reflecting effect", the mirror image of the well known "honeymoon effect" of a target zone. and a "bandwidth effect". Also derived is a locus of "benchmark cases" demarcating the factors that lead to an immediate appreciation or depreciation of the domestic currency at the announcement of the future TZ. The target zone model developed in Chapter 3 incorporates the possibility of a future change in the trend in the fundamentals of the exchange rate as policy reaction to specific events (e.g., impending speculative attacks and nominal anchor debates). The market has subjective expectations about this possible trend revision, which can affect the exchange rate level even if the change in trend is not implemented. These expectations are treated, first, as entirely exogenous and, second, as state-varying. In both cases various correlation patterns between the exchange rate and interest rate differentials are possible. This result is consistent with the observed behaviour of the exchange rate and interest rate differentials within the European Monetary System. Chapter 4 studies an announced (state-dependent) regime shift from a free-floating to a permanently fixed exchange rate regime and introduces specific welfare considerations. The welfare issues introduced here try to explain why a specific exchange rate target level would be chosen instead of another one, if a return to a fixed exchange rate were on the public policy agenda and a given range for its pegged value had already been proposed. While this model does not provide a theory of choice between free-float and fixed rate regimes, it proposes a criterion to choose between fixed exchange rate regimes, taking into account the transition period from the free-float to the implementation of the fixed regime.

Download or read book Exchange Rate Dynamics Under Stochastic Regime Shifts written by Kenneth Froot and published by . This book was released on 1991 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Evolution of Credibility and Flexible Exchange Rate Target Zones written by Renzo G. Avesani and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Process Switching and Intervention in Exchange Rate Target Zones written by Axel A. Weber and published by . This book was released on 1991 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Regime Switching and Stabilizing Policies Within Regimes written by Karen K. Lewis and published by . This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a class of stochastic stabilizing policies within asset price regimes that can be easily incorporated into the framework of regime switching recently proposed by Froot and Obstfeld (1991). In contrast to previous treatments of market-driven fundamentals within the regime, authorities stochastically counteract movements in these fundamentals before asset prices reach boundary points. The paper describes how the stabilizing intra-regime intervention policies can be used to characterize the behavior of monetary authorities before fixing an exchange rate, as in the case studied by Flood and Garber (1983). An intervention policy within target zone bands consistent with empirical evidence is also a member of this class of policies. Furthermore, the stylized features of these intervention policies may be matched to actual data in a natural way.

Download or read book Stochastic Process Switching and Intervention in Exchange Rate Target Zones written by Andrew Rose and published by . This book was released on 1991 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Exploration of Exchange Rate Target Zones written by Mr.Robert P. Flood and published by . This book was released on 1991-02 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Exchange Rate Determination and the Collapse of a Target Zone with Stochastic Capital Flows written by Alejandro Hernández D. and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stochastic Properties of Exchange Rates and Related Asset Prices in the Presence of Bands Norms and Zones written by David O. Robinson and published by . This book was released on 1992 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Noise Trading and Exchange Rate Regimes written by Olivier Jeanne and published by . This book was released on 1999 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both the literature and new empirical evidence show that exchange rate regimes differ primarily by the noisiness of the exchange rate, not be measurable macroeconomic fundamentals. This motivates a theoretical analysis of exchange rate regimes with noise traders. The presence of noise traders can lead to multiple equilibria in the foreign exchange market. The entry of noise traders both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used to lower exchange rate volatility without altering macroeconomic fundamentals.

Download or read book Target Zones and Realignment Expectations written by Alejandro M. Werner and published by . This book was released on 2006 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Learning about Intervention Target Zones written by Michael W. Klein and published by . This book was released on 1991 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a framework for evaluating how market participants' beliefs about foreign exchange target zones change as they learn about central bank intervention policy. In order to examine this behavior, we first generalize the standard target zone model to allow for intra-marginal intervention. Intra-marginal intervention implies that the position of market participants' beliefs about the target zone can be determined from their beliefs about the likelihood of intervention. As an application of this model, we estimate a probability of intervention model using daily exchange rates and market observations of central bank interventions following the Louvre Accord. Interestingly, even over this relatively stable Louvre Accord period, we find that the market's views of intervention target zones would have varied quite a bit over time.

Download or read book The Optimal Degree of Exchange Rate Flexibility written by Jesús Rodríguez López and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a benchmark model that rationalizes the choice of the degree of exchange rate flexibility. We show that the monetary authority may gain efficiency by reducing volatility of both the exchange rate and the interest rate at the same time. Furthermore, the model is consistent with some known stylized facts in the empirical literature on target zones that previous models were not able to generate jointly - namely, the positive relation between the exchange rate and the interest rate differential, the degree of nonlinearity of the function linking the exchange rate to fundamentals, and the shape of the exchange rate stochastic distribution.

Download or read book Economic Stability Under Alternative Exchange Rate Regimes written by Yeongseop Rhee and published by . This book was released on 1991 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Target Zones Big and Small written by Francisco Delgado and published by . This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under different assumptions about the underlying monetary shocks, we study target zones of various widths and the effect they have on variables like the interest differential. The stochastic disturbances assumed are successively a non-zero mean random walk and a mean reverting process. The latter is used to incorporate the "leaning against the wind" policy (intrainarginal intervention) which is prevalent in the EMS.