| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP522 |
| DP522 Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach | |
| Maurice Obstfeld; Kenneth Froot | |
| 发表日期 | 1991-02-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | Simple techniques of regulated Brownian motion are used to analyse the behaviour of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange rate dynamics in cases where the authorities promise (i) to confine a floating rate within a predetermined range, (ii) to peg the currency once it reaches a predetermined future level, and (iii) to unify a system of dual exchange rates. Similarities between these and several related examples of regime switching are stressed. We also discuss how stochastic regime changes can affect some standard statistical tests of hypotheses about exchange rates. |
| 主题 | International Macroeconomics |
| 关键词 | Regime change Regulated brownian motion Target zone |
| URL | https://cepr.org/publications/dp522 |
| 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/529672 |
| 推荐引用方式 GB/T 7714 | Maurice Obstfeld,Kenneth Froot. DP522 Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach. 1991. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
