Target Zones and Realignment Risk
Author | : Peter J. G. Vlaar |
Publisher | : |
Total Pages | : 26 |
Release | : 1998 |
Genre | : Foreign exchange rates |
ISBN | : |
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Author | : Peter J. G. Vlaar |
Publisher | : |
Total Pages | : 26 |
Release | : 1998 |
Genre | : Foreign exchange rates |
ISBN | : |
Author | : Petrus Johannes Gerardus Vlaar |
Publisher | : |
Total Pages | : 26 |
Release | : 1998 |
Genre | : |
ISBN | : |
Author | : Petrus Johannes Gerardus Vlaar |
Publisher | : |
Total Pages | : 27 |
Release | : 1992 |
Genre | : |
ISBN | : |
Author | : Bernard Dumas |
Publisher | : |
Total Pages | : 56 |
Release | : 1993 |
Genre | : Currency convertibility |
ISBN | : |
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment size. The realignment mechanism is such that (except in cases where a speculative attack occurs) no jump in fundamental is needed to accompany the jump in the exchange rate. A risk neutral valuation of currency options is constructed. Some properties of option values under realignment risk are illustrated by numerical results.
Author | : Mr.Leonardo Bartolini |
Publisher | : International Monetary Fund |
Total Pages | : 54 |
Release | : 1992-03-01 |
Genre | : Business & Economics |
ISBN | : 1451921195 |
This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band. The credibility of the commitment to the target zone implicit in forward market data can be extracted by estimating the model. Application to French/German data indicates that the model is capable of matching observed patterns of interest rate differentials during the EMS, while yielding estimates of the credibility parameters that accord with the experience of the FF/DM exchange rate during the 1980s.
Author | : |
Publisher | : |
Total Pages | : 560 |
Release | : 2000 |
Genre | : Economics |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 618 |
Release | : 1998 |
Genre | : Economics |
ISBN | : |
Author | : Bibliothèque centrale (Fonds Quetelet) |
Publisher | : |
Total Pages | : 716 |
Release | : 2002 |
Genre | : |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 376 |
Release | : 1996-01-12 |
Genre | : Economics |
ISBN | : |
Author | : Giuseppe Bertola |
Publisher | : |
Total Pages | : 16 |
Release | : 1990 |
Genre | : |
ISBN | : |