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The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk

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Cited by:

  1. Pessach, Shula & Razin, Assaf, 1994. "Targeting the Exchange Rate under Inflation," Review of International Economics, Wiley Blackwell, vol. 2(1), pages 40-49, February.
  2. Hans Lindberg & Lars E.O. Svensson & Paul Soderlind, 1991. "Devaluation Expectations: The Swedish Krona 1982-1991," NBER Working Papers 3918, National Bureau of Economic Research, Inc.
  3. Svensson, L.E.O., 1993. "Term, Inflation and Foreign Exchange Risk Premia: A Unified Treatment," Papers 548, Stockholm - International Economic Studies.
  4. Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86, March.
  5. R. Sean Craig, 1994. "Who will join EMU? Impact of the Maastricht convergence criteria on economic policy choice and performance," International Finance Discussion Papers 480, Board of Governors of the Federal Reserve System (U.S.).
  6. repec:ebl:ecbull:v:6:y:2004:i:1:p:1-7 is not listed on IDEAS
  7. Henk Kranendonk & Johan Verbruggen, 2005. "How to determine the contributions of domestic demand and exports to economic growth?," CPB Memorandum 129.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  8. Rose, Andrew K & Svensson, Lars E O, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," CEPR Discussion Papers 552, C.E.P.R. Discussion Papers.
  9. 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.
  10. Ulf Söderström & Alexis Stenfors, 1995. "Explaining devaluation expectations in the EMS," Finnish Economic Papers, Finnish Economic Association, vol. 8(2), pages 63-81, Autumn.
  11. Rashid, Abdul & Ling, Jeffrey, 2009. "Fundamentals and Exchange Rates: Evidence from ASEAN-5," MPRA Paper 22451, University Library of Munich, Germany.
  12. 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.
  13. Frankel, Jeffrey & Phillips, Steven, 1992. "The European Monetary System: Credible at Last?," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 791-816, October.
  14. 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.
  15. Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008. "Evaluating currency crises: the case of the European monetary system," Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
  16. Jean-Pierre Laffargue & Sanvi Avouyi-Dovi, 1992. "Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen," Revue Économique, Programme National Persée, vol. 43(6), pages 1107-1128.
  17. Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, vol. 104(3), pages 87-113.
  18. Venegas Martínez Francisco & Rodríguez Nava Abigail, 2010. "Optimal portafolio and consumption decisions under exchange rate and interest rate risks. A jump-diffusion approach," Contaduría y Administración, Accounting and Management, vol. 55(1), pages 9-24, enero-abr.
  19. Chen, Zhaohui & Giovannini, Alberto, 1997. "The determinants of realignment expectations under the EMS: Some empirical regularities," European Economic Review, Elsevier, vol. 41(9), pages 1687-1707, December.
  20. Beetsma, R.M.W.J., 1992. "Imperfect credibility of the band and risk premia in the European Monetary System," Other publications TiSEM 1eb07633-99fa-49c0-bcaa-3, Tilburg University, School of Economics and Management.
  21. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165.
  22. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2000. "On the Credibility of the Irish Pound in the EMS," The Economic and Social Review, Economic and Social Studies, vol. 31(2), pages 151-172.
  23. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "How Tight Should Central Bank’s Hands be Tied? Credibility, Volatility and the Optimal Band Width of a Target Zone," Economic Working Papers at Centro de Estudios Andaluces E2003/24, Centro de Estudios Andaluces.
  24. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  25. Ly Dai Hung, 2022. "Exchange Rate Risk Premium in Vietnam," Malaysian Journal of Economic Studies, Faculty of Business and Economics, University of Malaya & Malaysian Economic Association, vol. 59(2), pages 301-315, December.
  26. Jeff Frankel, Steve Phillips, and Menzie Chinn., 1992. "Financial and Currency Integration in the European Monetary System: The Statistical Record," Center for International and Development Economics Research (CIDER) Working Papers C92-005, University of California at Berkeley.
  27. Vlaar, P. J. G. & Palm, F. C., 1997. "Inflation differentials and excess returns in the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(1), pages 1-20, April.
  28. 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.
  29. Ayuso, Juan & Restoy, Fernando, 1996. "Interest rate parity and foreign exchange risk premia in the ERM," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 369-382, June.
  30. Holden, Steinar & Kolsrud, Dag, 1999. "Noisy signals in target zone regimes:: Theory and Monte Carlo experiments," European Economic Review, Elsevier, vol. 43(8), pages 1531-1567, August.
  31. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, vol. 69(1), pages 211-240, September.
  32. Markus Hertrich & Heinz Zimmermann, 2017. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 567-578, March.
  33. Hertrich Markus, 2016. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," Review of Economics, De Gruyter, vol. 67(1), pages 91-120, May.
  34. Lars E. O. Svensson, 1991. "The Simplest Test of Target Zone Credibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
  35. Dean Corbae & Christopher J. Neely & Paul A. Weller, 1998. "Endogenous realignments and the sustainability of a target," Working Papers 1994-009, Federal Reserve Bank of St. Louis.
  36. Jorgensen, Bjorn N. & Mikkelsen, Hans Ole ae, 1996. "An arbitrage free trilateral target zone model," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 117-134, February.
  37. Flood, Robert P. & Rose, Andrew K. & Mathieson, Donald J., 1991. "An empirical exploration of exchange-rate target-zones," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 35(1), pages 7-65, January.
  38. Rangvid, Jesper & Sorensen, Carsten, 2001. "Determinants of the implied shadow exchange rates from a target zone," European Economic Review, Elsevier, vol. 45(9), pages 1665-1696, October.
  39. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2008. "Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case," GEMF Working Papers 2008-03, GEMF, Faculty of Economics, University of Coimbra.
  40. Elias Belessakos & Michael Papaioannou, 1996. "Simple credibility tests of the ERM bands for the pound sterling and the Italian lira," Open Economies Review, Springer, vol. 7(3), pages 219-236, July.
  41. Frachot, Antoine, 1996. "A reexamination of the uncovered interest rate parity hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 419-437, June.
  42. Stefan Boeters, 2009. "Optimal tax progressivity in unionised labour markets; what are the driving forces?," CPB Discussion Paper 129.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  43. Baum, Christopher F. & Barkoulas, John, 2006. "Dynamics of Intra-EMS Interest Rate Linkages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 469-482, March.
  44. Tuysuz, Sukriye & Kuhry, Yves, 2007. "Interactions between interest rates and the transmission of monetary and economic news: the cases of US and UK," MPRA Paper 5255, University Library of Munich, Germany.
  45. Hjalmar Böhm & Michael Funke, 2001. "Does the Nominal Exchange Rate Regime Matter for Investment?," Quantitative Macroeconomics Working Papers 20105, Hamburg University, Department of Economics.
  46. Benoît Cœuré & Antoine Magnier, 1996. "Crédibilité et fondamentaux macro-économiques au sein du SME : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 113-146.
  47. Rodríguez-López Jesús & Rodriguez Mendizabal Hugo, 2006. "How Tight Should One's Hands be Tied? Fear of Floating and the Credibility of Exchange Rate Regimes," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(1), pages 1-25, March.
  48. Svensson, Lars E. O., 1993. "Assessing target zone credibility : Mean reversion and devaluation expectations in the ERM, 1979-1992," European Economic Review, Elsevier, vol. 37(4), pages 763-793, May.
  49. Paul Reding & Jean-Marie Viaene, 1995. "Capital controls and international trade finance in a dual exchange rate regime: The Belgian experience post-mortem," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 131(1), pages 1-27, March.
  50. Cecilia Jona-Lasinio, 1999. "Le Franc français et la récente crise monétaire européenne," Économie et Prévision, Programme National Persée, vol. 140(4), pages 147-159.
  51. Francisco Ledesma-Rodriguez & Manuel Navarro-Ibanez & Jorge Perez-Rodriguez & Simon Sosvilla-Rivero, 2005. "Assessing the credibility of a target zone: evidence from the EMS," Applied Economics, Taylor & Francis Journals, vol. 37(19), pages 2265-2287.
  52. Dai, Meixing, 1998. "Les effets stabilisants de la zone-cible du taux d’inflation [The stabilising effects of inflation-targeting zone]," MPRA Paper 13856, University Library of Munich, Germany, revised Nov 2001.
  53. Francisco Venegas-Martínez, 2000. "On Consumption, Investment and Risk," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(2), pages 227-244, July-Dece.
  54. Francisco Venegas Martínez, 2001. "Opciones, cobertura y procesos de difusión con saltos: Una aplicación a los títulos de Gcarso," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 16(2), pages 203-226.
  55. Szeidl, Adam, 2003. "The Credibility of the Hungarian Exchange Rate Regime 1997-98," CEPR Discussion Papers 3799, C.E.P.R. Discussion Papers.
  56. Svensson, Lars E. O., 1991. "The term structure of interest rate differentials in a target zone : Theory and Swedish data," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 87-116, August.
  57. Sandun Perera & Winston Buckley & Hongwei Long, 2018. "Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps," Annals of Operations Research, Springer, vol. 262(1), pages 213-238, March.
  58. Esaka, Taro, 2000. "The Louvre Accord and central bank intervention: was there a target zone?," Japan and the World Economy, Elsevier, vol. 12(2), pages 107-126, May.
  59. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  60. José R. Sánchez-Fung & Peter A. Prazmowski, 2004. "Ppp, Random Walks, And Uip After Interest Rate Liberalisation In A Small Developing Economy," Economics Bulletin, AccessEcon, vol. 6(1), pages 1-7.
  61. Bartolini, Leonardo & Prati, Alessandro, 1999. "Soft exchange rate bands and speculative attacks: theory, and evidence from the ERM since August 1993," Journal of International Economics, Elsevier, vol. 49(1), pages 1-29, October.
  62. Darvas, Zsolt, 1996. "Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben [Interest differential and exchange rate expectations in the preannounced crawling band system of Hungary]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 920-947.
  63. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2012(1), pages 19-37.
  64. Pierre Siklos & Rod Tarajos, 1996. "Fundamentals and devaluation expectations in target zones: Some new evidence from the ERM," Open Economies Review, Springer, vol. 7(1), pages 35-59, January.
  65. 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.
  66. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2006. "How tight should one's hands be tied? Fear of floating and credibility of exchange regimes," Working Papers 06.03, Universidad Pablo de Olavide, Department of Economics.
  67. Camille Baulant & Michel Boutillier & François Renard, 1992. "Taux d'intérêt et comportements spéculatifs sur le marché du franc français," Économie et Prévision, Programme National Persée, vol. 106(5), pages 97-108.
  68. Patrick Artus & Claude Jessua, 1996. "La spéculation," Revue Économique, Programme National Persée, vol. 47(3), pages 409-424.
  69. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2007. "The Optimal Degree of Exchange Rate Flexibility: a Target Zone Approach," Review of International Economics, Wiley Blackwell, vol. 15(4), pages 803-822, September.
  70. Geoffrey Williams & Ashok Parikh & David Bailey, 1998. "Are exchange rates determined by macroeconomic factors?," Applied Economics, Taylor & Francis Journals, vol. 30(4), pages 553-567.
  71. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
  72. Marko Malovic, 2007. "Exchange Rate Regimes and Monetary Policies in Emerging Markets: A Showdown for Few Theoretical Misconceptions," Economic Analysis, Institute of Economic Sciences, vol. 40(1-2), pages 17-28.
  73. 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.
  74. Susan M. Collins, 1992. "The Expected Timing of EMS Realignments: 1979-83," NBER Working Papers 4068, National Bureau of Economic Research, Inc.
  75. 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).
  76. Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.
  77. Beetsma, R.M.W.J., 1992. "Imperfect credibility of the band and risk premia in the European Monetary System," Other publications TiSEM 1eb07633-99fa-49c0-bcaa-3, Tilburg University, School of Economics and Management.
  78. Araújo, Aloísio Pessoa de & Feijó Filho, Cypriano Lopes, 1994. "Bandas de cambio : teoria, evidencia empirica e sua possivel aplicação no Brasil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 234, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  79. Robert P. Flood & Donald J. Mathieson & Andrew K. Rose, 1990. "Is the EMS the perfect fix? An empirical exploration of exchange rate target zones," International Finance Discussion Papers 388, Board of Governors of the Federal Reserve System (U.S.).
  80. Bhatta, Guna Raj & Nepal, Rabindra & Harvie, Charles & Jayanthakumaran, Kankesu, 2022. "Testing for the uncovered interest parity condition in a small open economy: A state space modelling approach," Journal of Asian Economics, Elsevier, vol. 82(C).
  81. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2012(1), pages 19-37.
  82. Coronado-Ramírez, Semei L. & Ramírez-Grajeda, Mauricio & Venegas-Martínez, Francisco, 2011. "Modelo Estocástico de Difusión con Saltos del Comportamiento de una Empresa ante Innovaciones Tecnológicas," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Economía: Teoría y Métodos, volume 1, chapter 5, pages 72-83, Escuela Superior de Economía, Instituto Politécnico Nacional.
  83. Carlos A. Ibarra, 2004. "The Interest Rate-Exchange Rate Link in the Mexican Float," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 5-28, January-J.
  84. Bernhardsen, Tom, 2000. "The relationship between interest rate differentials and macroeconomic variables: a panel data study for European countries," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 289-308, April.
  85. Gabauer, David, 2021. "Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
  86. Lin, Hwan C., 2008. "Forward-rate target zones and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 831-846, September.
  87. Didier, Marcel, 2004. "The French Franc and European Monetary Crisis," MPRA Paper 90504, University Library of Munich, Germany.
  88. Zhaohui Chen & Alberto Giovannini, 1993. "The Determinants of Realignment Expectations Under the EMS: Some Empirical Regularities," NBER Working Papers 4291, National Bureau of Economic Research, Inc.
  89. Sotiropoulos, Dimitris P., 2012. "Revisiting the 1992-93 EMS crisis in the context of international political economy," Economics Discussion Papers 2012-7, School of Economics, Kingston University London.
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