On the mean-reverting properties of target zone exchange rates: A cautionary note

DOI10.1016/S0165-1765(00)00402-XzbMath1005.91078WikidataQ126409046 ScholiaQ126409046MaRDI QIDQ5940904

Mark P. Taylor, M. Iannizzotto

Publication date: 20 August 2001

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

target zonesexchange ratesmean-reversion

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

A time series model for an exchange rate in a target zone with applications ⋮ Exchange rate dynamics in a target zone-A heterogeneous expectations approach

Cites Work

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• Simulation estimation of time-series models
• Simulated Moments Estimation of Markov Models of Asset Prices
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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