A time series model for an exchange rate in a target zone with applications

Stefan Lundbergh; Timo Teräsvirta

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it exists. A modelling cycle consisting of specification, estimation, and evaluation stages is constructed. The model is fitted to series of daily observations of the Swedish and Norwegian currency indices and the estimated models are evaluated. -- Autoregressive conditional heteroskedasticity ; exchange rate dynamics ; nonlinear modelling ; smooth transition autoregressio

MoreLess

Year of publication:	04 Sept. 2003 ; [Elektronische Ressource]
Other Persons:	Lundbergh, Stefan (contributor) ; Teräsvirta, Timo (contributor)
Institutions:	Ekonomiska forskningsinstitutet <Stockholm> (contributor)
Publisher:	Stockholm : Ekonomiska Forskningsinst.
Subject:	Zielzone \| Target zone \| Wechselkurs \| Exchange rate \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Autokorrelation \| Autocorrelation

Extent:	Online-Ressource (PDF-Datei: 37 S., 705 KB) graph. Darst.
Series:	SSE EFI working paper series in economics and finance. - Stockholm : [Verlag nicht ermittelbar], ISSN 1402-9928, ZDB-ID 2544040-8. - Vol. 533
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	nBibliography Systemvoraussetzungen: Acrobat reader
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001786381