| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP493 |
| 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 |
| URL | https://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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