Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
- Lars E. O. Svensson, 1991.
"The Simplest Test of Target Zone Credibility,"
IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
- Lars E.O. Svensson, 1990. "The Simplest Test of Target Zone Credibility," NBER Working Papers 3394, National Bureau of Economic Research, Inc.
- Svensson, Lars E O, 1991. "The Simplest Test of Target Zone Credibility," CEPR Discussion Papers 493, C.E.P.R. Discussion Papers.
- Svensson, L.E.O., 1990. "The Simplest Test of Target Zone Credibility," Papers 469, Stockholm - International Economic Studies.
- Hashem Pesaran, M. & Ruge-Murcia, Francisco J., 1996.
"Limited-dependent rational expectations models with stochastic thresholds,"
Economics Letters, Elsevier, vol. 51(3), pages 267-276, June.
- Pesaran, M.H. & Murcia, F.J., 1993. "Limited-Dependent Rational Expectations Models with Stochastic Thresholds," Cambridge Working Papers in Economics 9318, Faculty of Economics, University of Cambridge.
- Fair, Ray C & Taylor, John B, 1983.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models,"
Econometrica, Econometric Society, vol. 51(4), pages 1169-1185, July.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
- Soderlind, Paul & Svensson, Lars, 1997.
"New techniques to extract market expectations from financial instruments,"
Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
- Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
- Söderlind, Paul & Svensson, Lars E.O., 1996. "New Techniques to Extract Market expectations from Financial Instruments," SSE/EFI Working Paper Series in Economics and Finance 142, Stockholm School of Economics.
- Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.
- Paul Soderlind & Lars E. O. Svensson, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," NBER Working Papers 5877, National Bureau of Economic Research, Inc.
- Söderlind, Paul & Svensson, Lars E.O., 1997. "New Techniques to Extract Market Expectations from Financial Instruments," Seminar Papers 621, Stockholm University, Institute for International Economic Studies.
- Lee, Lung-fei, 1994.
"Rational expectations in limited dependent variable models,"
Economics Letters, Elsevier, vol. 46(2), pages 97-104, October.
- Lee, L.F., 1993. "Rational Expectations in Limited Dependent Variable Models," Papers 93-20, Michigan - Center for Research on Economic & Social Theory.
- Mizrach, Bruce, 1995.
"Target zone models with stochastic realignments: an econometric evaluation,"
Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October.
- Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.
- repec:bla:scandj:v:96:y:1994:i:1:p:1-14 is not listed on IDEAS
- Pesaran, M. Hashem & Samiei, Hossein, 1995.
"Limited-dependent rational expectations models with future expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1325-1353, November.
- Pesaran, M.H. & Samiei, H., 1993. "Limited-Dependaent Rational Expectations Models with Future Expectations," Cambridge Working Papers in Economics 9321, Faculty of Economics, University of Cambridge.
- Giuseppe Bertola & Lars E. O. Svensson, 1993.
"Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(3), pages 689-712.
- Bertola, G. & Svensson, L.E., 1990. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," Papers 481, Stockholm - International Economic Studies.
- Giuseppe Bertola & Lars E.O. Svensson, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," NBER Working Papers 3576, National Bureau of Economic Research, Inc.
- Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
- Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
- Papell, David H., 1984.
"Activist monetary policy and exchange-rate overshooting: The Deutsche mark/dollar rate,"
Journal of International Money and Finance, Elsevier, vol. 3(3), pages 293-310, December.
- David H. Papell, 1983. "Activist Monetary Policy and Exchange Rate Overshooting: The Deutsche Mark/Dollar Rate," NBER Working Papers 1195, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Gray, Stephen F., 1998.
"Target zones and exchange rates:: An empirical investigation,"
Journal of International Economics, Elsevier, vol. 45(1), pages 1-35, June.
- Geert Bekaert & Stephen F. Gray, 1996. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Other publications TiSEM 401f533c-6e91-49dd-9b04-5, Tilburg University, School of Economics and Management.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Discussion Paper 1997-22, Tilburg University, Center for Economic Research.
- Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
- Paul R. Krugman, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 106(3), pages 669-682.
- Pesaran, M. Hashem & Samiei, Hossein, 1992.
"Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone,"
Journal of Econometrics, Elsevier, vol. 53(1-3), pages 141-163.
- M. Hashem Pesaran & Hossein Samiei, 1991. "Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone," UCLA Economics Working Papers 612, UCLA Department of Economics.
- Bertola, Giuseppe & Caballero, Ricardo J, 1992.
"Target Zones and Realignments,"
American Economic Review, American Economic Association, vol. 82(3), pages 520-536, June.
- Bertola, Giuseppe & Caballero, Ricardo, 1990. "Target Zones and Realignments," CEPR Discussion Papers 398, C.E.P.R. Discussion Papers.
- Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
- Pesaran, M Hashem & Samiei, Hossein, 1992.
"An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model,"
Economic Journal, Royal Economic Society, vol. 102(411), pages 388-401, March.
- Pesaran, M.H. & Samiei, H., 1991. "An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model," Papers 38, California Los Angeles - Applied Econometrics.
- Flood, Robert P & Garber, Peter M, 1983.
"A Model of Stochastic Process Switching,"
Econometrica, Econometric Society, vol. 51(3), pages 537-551, May.
- Robert P. Flood & Peter M. Garber, 1981. "A Model of Stochastic Process Switching," NBER Working Papers 0626, National Bureau of Economic Research, Inc.
- Robert P. Flood & Peter M. Garber, 1982. "A model of stochastic process switching," International Finance Discussion Papers 201, Board of Governors of the Federal Reserve System (U.S.).
- Donald, Stephen G. & Maddala, G. S., 1993. "A note on the estimation of limited dependent variable models under rational expectations (Economics Letters 38, no. 1, pp. 17-23)," Economics Letters, Elsevier, vol. 41(1), pages 111-111.
- Gomez-Puig, Marta & Montalvo, JoseG., 1997. "A new indicator to assess the credibility of the EMS," European Economic Review, Elsevier, vol. 41(8), pages 1511-1535, August.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- David H. Papell, 1984. "Monetarist Monetary Policy, Exchange Risk, and Exchange Rate Variability," NBER Working Papers 1306, National Bureau of Economic Research, Inc.
- Juan Ayuso & Maria Perez-Jurado, 1997. "Devaluations and depreciation expectations in the EMS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 471-484.
- Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 119-144, Fall.
- Holt, Matthew T & Johnson, Stanley R, 1989.
"Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market,"
The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 605-613, November.
- Holt, Matthew & Johnson, Stanley R., 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," Staff General Research Papers Archive 267, Iowa State University, Department of Economics.
- Krugman,Paul & Miller,Marcus (ed.), 1992. "Exchange Rate Targets and Currency Bands," Cambridge Books, Cambridge University Press, number 9780521435260, September.
- Donald, Stephen G. & Maddala, G. S., 1992. "A note on the estimation of limited dependent variable models under rational expectations," Economics Letters, Elsevier, vol. 38(1), pages 17-23, January.
- James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
- Pesaran, M Hashem & Ruge-Murcia, Francisco J, 1999. "Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 50-66, January.
- Bertola, Giuseppe & Caballero, Ricardo, 1991. "Sustainable Intervention Policies and Exchange Rate Dynamics," CEPR Discussion Papers 504, C.E.P.R. Discussion Papers.
- Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- M. Isabel Campos & Zenon Jimenez-Ridruejo, 2003. "Were the peseta exchange rate crises forecastable during target zone period?," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1087-1099.
- M. Isabel Campos & Zenón Jiménez-Ridruejo, "undated". "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
- M. Isabel Campos & Zenón Jiménez-Ridruejo, 2000. "Were The Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers 00-07, Asociación Española de Economía y Finanzas Internacionales.
- M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
- Francisco J. Ruge-Murcia, 2000.
"Uncovering financial markets' beliefs about inflation targets,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
- Ruge-Murcia, F.J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- RUGE-MURCIA, Francisco J., 1998. "Uncovering Financial Markets Beliefs About Inflation Targets," Cahiers de recherche 9803, Universite de Montreal, Departement de sciences economiques.
- Pesaran, M. Hashem & Samiei, Hossein, 1995.
"Limited-dependent rational expectations models with future expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1325-1353, November.
- Pesaran, M.H. & Samiei, H., 1993. "Limited-Dependaent Rational Expectations Models with Future Expectations," Cambridge Working Papers in Economics 9321, Faculty of Economics, University of Cambridge.
- António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2013.
"Exchange Rate Target Zones: A Survey Of The Literature,"
Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 247-268, April.
- António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF, Faculty of Economics, University of Coimbra.
- M. Isabel Campos & M. Araceli Rodríguez, "undated".
"Crises and Credibility in a Target Zone: A Logit From a Markov-Switching Model,"
Working Papers on International Economics and Finance
00-05, FEDEA.
- M. Isabel Campos & M. Araceli Rodríguez, 2000. "Crises and Credibility in a Target Zone: A Logit from a Markov-Switching Model," Working Papers 00-05, Asociación Española de Economía y Finanzas Internacionales.
- Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, vol. 104(3), pages 87-113.
- Robert Amano & Richard Black & Marcel Kasumovich, 1997. "A Band-Aid Solution to Inflation Targeting," Staff Working Papers 97-11, Bank of Canada.
- Velayoudom Marimoutou & Éric Girardin, 1994. "Problèmes d'évaluation de la crédibilité d'une zone cible de change," Revue Économique, Programme National Persée, vol. 45(3), pages 501-514.
- RUGE-MURCIA, Francisco J., 2002. "Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy," Cahiers de recherche 2002-06, Universite de Montreal, Departement de sciences economiques.
- Peter P. Carr & Zura Kakushadze, 2017.
"FX options in target zones,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
- Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
- Girardin, Eric & Marimoutou, Velayoudom, 1997. "Estimating the credibility of an exchange rate target zone," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 931-944, December.
- Darvas, Zsolt, 1999. "Az árfolyamsávok empirikus modelljei és a devizaárfolyam sávon belüli előrejelezhetetlensége [Empirical models of exchange rate target zones]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 507-529.
- Jess Rodr?uez L?ez & Hugo Rodr?uez Mendiz?al, 2002.
"On the Choice of an Exchange Rate Regime: Target Zones Revisited,"
UFAE and IAE Working Papers
518.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," Working Papers 87, Barcelona School of Economics.
- Ruge-Murcia, Francisco J., 2006. "The expectations hypothesis of the term structure when interest rates are close to zero," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1409-1424, October.
- Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16, June.
- Bekaert, Geert & Gray, Stephen F., 1998.
"Target zones and exchange rates:: An empirical investigation,"
Journal of International Economics, Elsevier, vol. 45(1), pages 1-35, June.
- Geert Bekaert & Stephen F. Gray, 1996. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Other publications TiSEM 401f533c-6e91-49dd-9b04-5, Tilburg University, School of Economics and Management.
- Bekaert, G.R.J. & Gray, S.F., 1997. "Target zones and exchange rates : An empirical investigation," Discussion Paper 1997-22, Tilburg University, Center for Economic Research.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wiw:wiwrsa:ersa99pa183. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gunther Maier (email available below). General contact details of provider: http://www.ersa.org .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.