G2TT
来源类型Discussion paper
规范类型论文
来源IDDP493
DP493 The Simplest Test of Target Zone Credibility
Lars E.O. Svensson
发表日期1991
出版年1991
语种英语
摘要Under the assumption of no arbitrage, exchange rate target-zone credibility is tested by whether domestic interest rates fall within `rate-of-return bands' between the maximum and minimum home-currency rate of return on a foreign investment in the absence of a devaluation. Under the assumption of uncovered interest rate parity, credibility is tested by whether expected future exchange rates fall within the exchange rate band. Under the assumption that devaluations are a Poisson process, the expected exchange rate, the probability intensity and the expected size of a devaluation can be related. These tests are illustrated using data on the Swedish target zone between January 1987 and August 1990.
主题International Macroeconomics
关键词Credibility Devaluation risk Exchange rates Interest rate bands Target zones Term structure
URLhttps://cepr.org/publications/dp493
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/529651
推荐引用方式
GB/T 7714
Lars E.O. Svensson. DP493 The Simplest Test of Target Zone Credibility. 1991.
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