Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
From MaRDI portal
Publication:3141210
DOI10.2307/2298131zbMath0800.90196OpenAlexW3125425480MaRDI QIDQ3141210
Lars E. O. Svensson, Giuseppe Bertola
Publication date: 20 December 1993
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w3576.pdf
Related Items (15)
On the symmetry between inflation and exchange rate targets ⋮ Some integral functionals of reflected SDEs and their applications in finance ⋮ Constant elasticity of variance models with target zones ⋮ Can one hear the shape of a target zone? ⋮ Nadaraya-Watson estimators for reflected stochastic processes ⋮ Target zones and small realignments ⋮ On the conditional default probability in a regulated market with jump risk ⋮ Closed-form solutions to stochastic process switching problems ⋮ On the sustainability of exchange rate target zones with central parity realignments ⋮ Exchange rate dynamics in a target zone-A heterogeneous expectations approach ⋮ Devaluation expectations and the unit root hypothesis: The Italian Lira in the European monetary system ⋮ An introduction to hypergeometric functions for economists ⋮ DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT ⋮ Estimating Expected Exchange Rates Under Target Zone Regimes ⋮ Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models
This page was built for publication: Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models