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A univariate analysis of EMS exchange rates using a target zone model

โœ Scribed by F. De Jong

Book ID
112117617
Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
942 KB
Volume
9
Category
Article
ISSN
0883-7252

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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 ยฎnd that the si