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A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között
[Target-zone rearrangement and exchange-rate behaviour in an options-based model]

Author

Listed:
  • Naszódi, Anna

Abstract

Az opcióalapú modellben a sávos árfolyamú deviza megfelel egy lebegő rendszerbe li devizának és két opciónak. Az opciók kötési árfolyama a sáv széleivel egyezik meg, így az opciós modell szerint a sáv eltolása a kötési árfolyamok megváltozásán ke resztül közvetlenül hat az árfolyamra. E modell segítségével vizsgáljuk a forint 2003 nyarán bekövetkezett leértékelődését. Arra a kérdésre keressük a választ, hogy a forint gyengülését mennyiben okozta közvetlenül a sáveltolás, mennyiben okolható az EMU konverziós rátára vonatkozó várakozások megváltozása, illetve a bizonyta lanság megnövekedése. Journal of Economic Literature (JEL) kód: F31, F33, G12, C63.

Suggested Citation

  • Naszódi, Anna, 2004. "A sáveltolás árfolyamhatásának vizsgálata opciós modell keretei között [Target-zone rearrangement and exchange-rate behaviour in an options-based model]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 638-658.
    • Handle: RePEc:ksa:szemle:695
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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