| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP513 |
| DP513 Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models | |
| Lars E.O. Svensson; Giuseppe Bertola | |
| 发表日期 | 1991-02-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | In our model, an exchange rate fluctuates between given boundaries for random lengths of time and jumps discretely when devaluations occur. We provide explicit solutions for the stochastic processes followed by the exchange rate and by the expected rate of depreciation when the likelihood and the size of devaluations vary stochastically over time. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, and provides interesting interpretations of available empirical evidence. We also specify a technique for inferrring the risk of devaluation from target-zone data. |
| 主题 | International Macroeconomics |
| 关键词 | Devaluations Exchange rates Interest rate differentials Target zones |
| URL | https://cepr.org/publications/dp513 |
| 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/529670 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson,Giuseppe Bertola. DP513 Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models. 1991. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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