G2TT
来源类型Discussion paper
规范类型论文
来源IDDP495
DP495 The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data
Lars E.O. Svensson
发表日期1991
出版年1991
语种英语
摘要The term structure of interest rate differentials is derived in a model of a small open economy with a target-zone exchange rate regime. The target zone is modelled as a regulated Brownian motion. The interest rate differentials are computed as the solution to a parabolic partial differential equation with derivative boundary conditions, both via a Fourier-series analytical solution and via a direct numerical solution. Several specific properties of the term structure of interest rate differentials are derived. For instance, for given time to maturity the interest rate differential is decreasing in the exchange rate, and for given exchange rate the interest rate differential's absolute value and its instantaneous variability are both decreasing in the time to maturity. Devaluation/realignment risks are incorporated and imply upward shifts of the interest rate differentials. Several implications of the theory are found to be broadly consistent with data on Swedish exchange rates and interest differentials for the period 1986-9.
主题International Macroeconomics
关键词Exchange rates Realignment Regulated brownian motion Target zones Term structure
URLhttps://cepr.org/publications/dp495
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/529653
推荐引用方式
GB/T 7714
Lars E.O. Svensson. DP495 The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data. 1991.
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