| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP495 |
| 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 |
| URL | https://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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