DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

2007 ◽  
Vol 17 (2) ◽  
pp. 285-306 ◽  
Author(s):  
Kristian Stegenborg Larsen ◽  
Michael Sørensen
Keyword(s):  
Exchange Rates ◽  
Diffusion Models ◽  
Target Zone

Testing mean reversion in target-zone exchange rates

2005 ◽  
Vol 37 (20) ◽  
pp. 2335-2347 ◽  
Author(s):  
Giuseppe Cavaliere
Keyword(s):  
Exchange Rates ◽  
Mean Reversion ◽  
Target Zone

Exchange rates and target zone width

1992 ◽  
Vol 40 (4) ◽  
pp. 455-457 ◽  
Author(s):  
Alejandro M. Werner
Keyword(s):  
Exchange Rates ◽  
Target Zone ◽  
Zone Width

Estimating Expected Exchange Rates Under Target Zone Regimes

1998 ◽  
Vol 01 (01) ◽  
pp. 43-59
Author(s):  
Zhaohui Chen ◽  
Alberto Giovannini
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Regimes ◽  
Target Zones ◽  
Target Zone ◽  
Linear Projection ◽  
Empirical Results ◽  
Bretton Woods ◽  
Distributional Assumptions

This paper develops a simple econometric procedure for estimating expected exchange rate under target zones. We employ the linear projection methodology to make predictions without relying on any prior structural or distributional assumptions, and at the same time demonstrate that such a methodology has to be modified in an important way to account for the presence of the target zone band. The method is applied to test the credibility of exchange rate regimes and to estimate the unannounced band. Our empirical results show that the band effect is nontrivial for narrow target zones such as those in the Bretton Woods system.

On the mean-reverting properties of target zone exchange rates

1998 ◽  
Vol 42 (8) ◽  
pp. 1493-1523 ◽  
Author(s):  
Myrvin Anthony ◽  
Ronald MacDonald
Keyword(s):  
Exchange Rates ◽  
Target Zone ◽  
The Mean
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