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Stochastic processes and target zones revisited

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  • Beladi, Hamid
  • Chakrabarti, Avik

Abstract

We construct a model of exchange rate target zones that allows the stochastic process, with a closed-form general solution, to include the possibility of lagged response of fundamentals.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 1 ()
Pages: 34-36

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:1:p:34-36

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Target zones; Exchange rate; Stochastic processes;

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References

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  1. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Stochastic Process Switching: Some Simple Solutions," Econometrica, Econometric Society, vol. 59(1), pages 241-50, January.
  2. Partha Dasgupta & Eric Maskin, 2005. "Uncertainty and Hyperbolic Discounting," American Economic Review, American Economic Association, vol. 95(4), pages 1290-1299, September.
  3. García-Solanes, José & Torrejón-Flores, Fernando, 2010. "Devaluation and pass-through in indebted and risky economies," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 36-45, January.
  4. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  5. Devereux, Michael B., 2009. "A simple model of emerging market portfolio structure," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 457-468, June.
  6. Eric S. Maskin, 1999. "Uncertainty and entry deterrence," Economic Theory, Springer, vol. 14(2), pages 429-437.
  7. Beladi, Hamid & Chakrabarti, Avik & Marjit, Sugata, 2010. "Exchange rate pass-through: A generalization," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 493-504, July.
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