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Target zones and exchange rates : An empirical investigation

Citations

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Cited by:

  1. Reitz Stefan & Taylor Mark P., 2013. "The Danish krone-euro exchange rate and Danmark Nationalbank intervention operations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 239-249, May.
  2. Ang, Andrew & Bekaert, Geert, 2002. "Regime Switches in Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
  3. Brandner, Peter & Grech, Harald & Stix, Helmut, 2006. "The effectiveness of central bank intervention in the EMS: The post 1993 experience," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 580-597, June.
  4. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  5. 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.
  6. Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April.
  7. 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.
  8. 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.
  9. Galindo, Arturo J., 2000. "Estimating credibility in Colombia's exchange-rate target zone," Journal of Development Economics, Elsevier, vol. 63(2), pages 473-484, December.
  10. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  11. Oleg Korenok & Stanislav Radchenko, 2005. "Expectations Anchoring in Inflation Targeting Regimes," Working Papers 0503, VCU School of Business, Department of Economics.
  12. Marcelo Fernandes & Marco Aurélio Dos Santos Rocha, 0. "Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(2), pages 219-242.
  13. 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.
  14. Ribeiro de Castro, Claudia, 1999. "Inside and Outside the Band Exchange Rate Fluctuations for Brazil," LIDAM Discussion Papers IRES 2000004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  15. Tang, Linghui & Hammoudeh, Shawkat, 2002. "An empirical exploration of the world oil price under the target zone model," Energy Economics, Elsevier, vol. 24(6), pages 577-596, November.
  16. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  17. John Cotter, 2005. "Tail behaviour of the euro," Applied Economics, Taylor & Francis Journals, vol. 37(7), pages 827-840.
  18. 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.
  19. Fiteni, Inmaculada, 2004. "[tau]-estimators of regression models with structural change of unknown location," Journal of Econometrics, Elsevier, vol. 119(1), pages 19-44, March.
  20. Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 579-609.
  21. repec:onb:oenbwp:y:2004:i:1:b:1 is not listed on IDEAS
  22. Jes??s Crespo-Cuaresma & Bal??zs ??gert & Ronald MacDonald, 2005. "Non-Linear Exchange Rate Dynamics in Target Zones: A Bumpy Road Towards A Honeymoon Some Evidence from the ERM, ERM2 and Selected New EU Member States," William Davidson Institute Working Papers Series wp771, William Davidson Institute at the University of Michigan.
  23. Cadenillas, Abel & Zapatero, Fernando, 1999. "Optimal Central Bank Intervention in the Foreign Exchange Market," Journal of Economic Theory, Elsevier, vol. 87(1), pages 218-242, July.
  24. Jesus Crespo Cuaresma & Balázs Égert & Ronald MacDonald, 2004. "Nonlinear Exchange Rate Dynamics in Target Zones," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 46-69.
  25. 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.
  26. Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
  27. Jesper Rangvid & Carsten Sørensen, 2002. "Convergence in the ERM and Declining Numbers of Common Stochastic Trends," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 1(2), pages 183-213, September.
  28. 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.
  29. Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011. "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(4), pages 1107-1125, August.
  30. repec:onb:oenbwp:y::i:55:b:1 is not listed on IDEAS
  31. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  32. Alberto Carrasquilla, 1997. "An exchange rate band in times of turbulence: Colombia 1991-96," Borradores de Economia 1976, Banco de la Republica.
  33. Neven Valev & John Carlson, 2007. "Beliefs about Exchange‐Rate Stability: Survey Evidence from the Currency Board in Bulgaria," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 10(2), pages 111-121.
  34. 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.
  35. Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008. "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers 16, HUI Research.
  36. Catherine S. Forbes & Paul Kofman, 2000. "Bayesian Target Zones," Econometric Society World Congress 2000 Contributed Papers 0575, Econometric Society.
  37. Peter P. Carr & Zura Kakushadze, 2017. "FX options in target zones," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
  38. Tian, Lei & Chen, Langnan, 2013. "A reinvestigation of the new RMB exchange rate regime," China Economic Review, Elsevier, vol. 24(C), pages 16-25.
  39. Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
  40. Reitz, Stefan & Taylor, Mark P., 2013. "Exchange rates in target zones: Evidence from the Danish Krone," Kiel Working Papers 1827, Kiel Institute for the World Economy (IfW Kiel).
  41. Stein, Jerome L. & Paladino, Giovanna, 1997. "Recent developments in international finance: A guide to research," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1685-1720, December.
  42. Klaster, Michel A. & Knot, Klaas H. W., 2002. "Toward an econometric target zone model with endogenous devaluation risk for a small open economy," Economic Modelling, Elsevier, vol. 19(4), pages 509-529, August.
  43. 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.
  44. 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.
  45. 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.
  46. Duprey, Thibaut & Klaus, Benjamin, 2022. "Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress," Journal of Banking & Finance, Elsevier, vol. 138(C).
  47. 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.
  48. 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.
  49. 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.
  50. 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).
  51. Tronzano, Marco & Psaradakis, Zacharias & Sola, Martin, 2003. "Target zone credibility and economic fundamentals," Economic Modelling, Elsevier, vol. 20(4), pages 791-807, July.
  52. M. Isabel Campos López & M. Araceli Rodríguez López, "undated". "Business Cycle Speculative Pressures in a Target Zone," Working Papers on International Economics and Finance 01-04, FEDEA.
  53. 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.
  54. Rzepkowski, Bronka, 2003. "The devaluation expectations in Hong Kong and their determinants," Journal of the Japanese and International Economies, Elsevier, vol. 17(2), pages 174-191, June.
  55. Sandun Perera & Winston Buckley, 2017. "On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(8), pages 877-885, August.
  56. M. Isabel Campos López & M. Araceli Rodríguez López, 2001. "Business Cycle and Speculative Pressures in a Target Zone," Working Papers 01-04, Asociación Española de Economía y Finanzas Internacionales.
  57. Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012. "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, vol. 34(6), pages 1774-1781.
  58. Flandreau, Marc, 1998. "The burden of intervention: externalities in multilateral exchange rates arrangements," Journal of International Economics, Elsevier, vol. 45(1), pages 137-171, June.
  59. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association.
  60. Yum K. Kwan & Francis T. Lui & Leonard K. Cheng, 2001. "Credibility of Hong Kong's Currency Board: The Role of Institutional Arrangements," NBER Chapters, in: Regional and Global Capital Flows: Macroeconomic Causes and Consequences, pages 233-259, National Bureau of Economic Research, Inc.
  61. Alberto Carrasquilla, 1997. "An Exchange Rate Band in Times of Turbulence: Colombia 1991-96," Borradores de Economia 070, Banco de la Republica de Colombia.
  62. François, Pascal & Morellec, Erwan, 2008. "Closed-form solutions to stochastic process switching problems," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1072-1083, December.
  63. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2002. "On the Choice of an Exchange Regime: Target Zones Revisited," Economic Working Papers at Centro de Estudios Andaluces E2002/10, Centro de Estudios Andaluces.
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