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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/50

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contributor.authorCorrado, Luisa-
contributor.authorMiller, Marcus H.-
contributor.authorZhang, Lei-
date.accessioned2005-10-07T11:20:27Z-
date.available2005-10-07T11:20:27Z-
date.issued2003-02-
identifier.urihttp://ssrn.com/abstract=391480-
identifier.urihttp://hdl.handle.net/2108/50-
description.abstractRecent empirical research by Mark Taylor and co-authors has found evidence of hybrid dynamics for the real exchange rate. While there is a random walk near equilibrium, for real exchange rates some distance from equilibrium there is mean-reversion which increases with the degree of misalignment. An interesting question is whether this nonlinear mean-reversion is policy-induced. John Williamson (1998), for example, has proposed a "monitoring band" in which there is no intervention near equilibrium but there is substantial intervention triggered by exchange rate deviations outside a preset band. In this paper we develop a theoretical model for a stylised monitoring band to see whether it can generate patterns of nonlinear mean-reversion akin to those reported in empirical research.en
format.extent1337695 bytes-
format.mimetypeapplication/pdf-
language.isoenen
publisherCEISen
relation.ispartofseriesCEIS Tor Vergata Research Paperen
relation.ispartofseries8en
subjectmonitoring banden
subjectnon-linear mean-reversionen
subjectnear random walk dynamicsen
titleExchange monitoring bands: theory and policyen
typeArticleen
subject.jelD52; Incomplete marketsen
subject.jelF31; Foreign exchangeen
subject.jelG12; Asset pricingen
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