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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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Full metadata record
| DC Field | Value | Language |
|---|
| contributor.author | Corrado, Luisa | - |
| contributor.author | Miller, Marcus H. | - |
| contributor.author | Zhang, Lei | - |
| date.accessioned | 2005-10-07T11:20:27Z | - |
| date.available | 2005-10-07T11:20:27Z | - |
| date.issued | 2003-02 | - |
| identifier.uri | http://ssrn.com/abstract=391480 | - |
| identifier.uri | http://hdl.handle.net/2108/50 | - |
| description.abstract | Recent 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.extent | 1337695 bytes | - |
| format.mimetype | application/pdf | - |
| language.iso | en | en |
| publisher | CEIS | en |
| relation.ispartofseries | CEIS Tor Vergata Research Paper | en |
| relation.ispartofseries | 8 | en |
| subject | monitoring band | en |
| subject | non-linear mean-reversion | en |
| subject | near random walk dynamics | en |
| title | Exchange monitoring bands: theory and policy | en |
| type | Article | en |
| subject.jel | D52; Incomplete markets | en |
| subject.jel | F31; Foreign exchange | en |
| subject.jel | G12; Asset pricing | en |
| Appears in Collections: | Research papers
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Description |
Size | Format |
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| SSRN-id391480.pdf | | 1306Kb | Adobe PDF | View/Open |
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