DSpace - Tor Vergata >
Facoltà di Economia >
CEIS - Centre for International Studies on Economic Growth >
Research papers >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/310

Full metadata record

DC FieldValueLanguage
contributor.authorCorrado, Luisa-
contributor.authorMiller, Marcus-
contributor.authorZhang, Lei-
date.accessioned2007-02-21T15:08:35Z-
date.available2007-02-21T15:08:35Z-
date.issued2007-02-
identifier.urihttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=962489-
identifier.urihttp://hdl.handle.net/2108/310-
description.abstractIn this paper we show how trading rules can generate excess volatility in the exchange rate through repeated entry and exit of currency bears and bulls. This is something of a caricature: but it allows us to show that offcial action can have self-fulfilling effects as market composition shifts in ways that support offcial stabilization. Intervention if and when the rate moves outside what Williamson has labelled 'monitoring bands' can reduce market volatility as the effect of the policy is to select endogenously traders from the market whose expectations match offcial intervention.en
format.extent1290062 bytes-
format.mimetypeapplication/pdf-
language.isoenen
publisherCEISen
relation.ispartofseriesCEIS Tor Vergata Research Paper; 92en
subjectmonitoring rulesen
subjectmonitoring banden
subjectbear and bull tradersen
subjectexcess volatilityen
subjectCentral Bank volatilityen
titleMonitoring bands and monitoring rules: how currency intervention can change market compositionen
typeArticleen
subject.jelD52; Incomplete marketsen
subject.jelF31; Foreign exchangeen
subject.jelG12; Asset pricingen
Appears in Collections:Research papers

Files in This Item:

File Description SizeFormat
SSRN-id962489.pdf1259KbAdobe PDFView/Open

Show simple item record

All items in DSpace are protected by copyright, with all rights reserved.