Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arrangements. His analysis revealed the existence of a stabilizing nonlinear relation between the exchange rate and its driving fundamentals. However, the econometric testing of this relationship has proved difficult. We use data from the European Monetary System (EMS) to implement efficient testing of the Krugman model and extensions which allow mean reversion in the fundamentals process. In particular, we model the fundamentals driving the bilateral exchange rates of participating currencies by means of an Ornstein Uhlenbeck process with reflecting barriers. This specification captures the enforcement of an exchange rate fluctuation band throu...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
Since the creation of the EMS in 1979 and the Louvre Accord in 1987, economists and policy makers ha...
In the context of a flexible-price monetary exchange rate model and the assumption of uncovered inte...
This dissertation deals with both theoretical and empirical issues in the target zone literature. Tw...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
This study investigates exchange rate movements in the Exchange Rate Mechanism (ERM) of the European...
Since the creation of the EMS in 1979 and the Louvre Accord in 1987, economists and policy makers ha...
In the context of a flexible-price monetary exchange rate model and the assumption of uncovered inte...
This dissertation deals with both theoretical and empirical issues in the target zone literature. Tw...
From the classical gold standard up to the current ERM2 arrangement of the European Union, target zo...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
One key prediction of the target zone model is that the exchange rate should be mean-reverting withi...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
A target zone attempts to limit the movement of an exchange rate, avoiding the pitfalls of both a pe...
This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whethe...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...