| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3955 |
| 来源ID | Working Paper 3955 |
| Estimating Expected Exchange Rates Under Target Zones | |
| Zhaohui Chen; Alberto Giovannini | |
| 发表日期 | 1992 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | This paper develops a simple econometric procedure for estimating expected exchange rate under target zones. We employ the linear projection methodology to make predictions without relying on any prior structural or distributional assumptions, and at the same time demonstrate that such a methodology has to be modified in an important way to account for the presence of the fluctuation band. Our empirical results show that the band effect is nontrivial for narrow target zones such as the Bretton Woods system. We also develop a method to estimate the shapes of the unconditional distributions of exchange rates under target zones. The empirical results show that the unconditional distributions of exchange rates can take several different shapes, which may correspond to possibly widely different monetary and exchange-rate intervention policies. We also show how to use the projection equations and the information about the band to test the credibility of the exchange rate regimes. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w3955 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561296 |
| 推荐引用方式 GB/T 7714 | Zhaohui Chen,Alberto Giovannini. Estimating Expected Exchange Rates Under Target Zones. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3955.pdf（564KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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