This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation target zone model that incorporates stochastic realignment risk. Using FF/DM and IL/DM exchange rate data, we ®nd that the si
✦ LIBER ✦
A Jump-diffusion Model for Exchange Rates in a Target Zone
✍ Scribed by F. De Jong; F. C. Drost; B. J. M. Werker
- Book ID
- 108542450
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 502 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0039-0402
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