Exchange rate dynamics in integrated markets

被引：0

作者：

Aguirre M.S. ^{[1
]}

Kroopkin P. ^{[1
]}

机构：

[1] The Catholic University of America,

来源：

International Advances in Economic Research | 1997年 / 3卷 / 3期

关键词：

Economic Growth; Exchange Rate; Stochastic Process; Stochastic Model; International Economic;

D O I：

10.1007/BF02294913

中图分类号：

学科分类号：

摘要：

This paper intends to formalize the behavior of exchange rate dynamics in integrated markets. The decomposition of the exchange rate behavior in different time frequencies suggests that both stochastic and fundamental processes as well as exogenous random shocks are present in the determination of the nominal exchange rate dynamics in integrated countries. A stochastic process within a potential well captures all the elements observed in the data. In addition, the mathematical solutions shed some light on the relationship between the stochastic process and the drift found in the literature. Finally, this model provides an alternative to the Standard Target Zone Stochastic Model thus far used to analyze the exchange rate dynamics in integrated markets. (JEL F31, F15).

引用

页码：269 / 280

页数：11

共 17 条

[1]

Bertola G., Caballero R.., Target zones and realignments, American Economic Review, 82, pp. 520-536, (1992)

[2]

Bertola G., Svensson L., Stochastic devaluations risk and the empirical fit of target zone models, Review of Economic Studies, 60, pp. 689-712, (1993)

[3]

Bentolila S., Bertola G., Firing Costs and Labor Demand: How Bad Is Eurosclerosis?, Review of Economic Studies, 57, pp. 381-402, (1990)

[4]

Dixit A., Entry and exit decisions under uncertainty, Journal of Political Economy, 97, 3, pp. 620-638, (1989)

[5]

Dumas B., Svensson L., How long do unilateral target zones last?, NBER Working Paper Series, 3931, (1992)

[6]

Dumas B., Monetary contracting between central banks and the design of sustainable exchange rate zones, Journal of International Economics, 34, 3-4, pp. 201-224, (1993)

[7]

Flood R., Garber P., The linkage between speculative attack and target zone models of exchange rates, Quarterly Journal of Economics, 106, pp. 1367-1372, (1991)

[8]

Flood R., Rose A., Mathienson D., An empirical exploration of exchange rate target zones, Carnegie-Rochester Series on Public Policy, 35, pp. 7-66, (1991)

[9]

Froot K., Obstfeld M., Exchange rate dynamics under stochastic regime shifts, Journal of International Economics, 31, pp. 203-229, (1991)

[10]

Hill T., Introduction to Statistical Thermodynamics, (1960)

← 1 2 →