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State- and time-contingent switches of exchange rate regime

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  • Sutherland, Alan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 38 (1995)
Issue (Month): 3-4 (May)
Pages: 361-374

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Handle: RePEc:eee:inecon:v:38:y:1995:i:3-4:p:361-374

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Web page: http://www.elsevier.com/locate/inca/505552

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References

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  1. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
  2. Flood, Robert P & Garber, Peter M, 1983. "A Model of Stochastic Process Switching," Econometrica, Econometric Society, vol. 51(3), pages 537-51, May.
  3. Kenneth A. Froot & Maurice Obstfeld, 1991. "Stochastic Process Switching: Some Simple Solutions," NBER Working Papers 2998, National Bureau of Economic Research, Inc.
  4. Miller, Marcus & Sutherland, Alan, 1994. "Speculative Anticipations of Sterling's Return to Gold: Was Keynes Wrong?," Economic Journal, Royal Economic Society, vol. 104(425), pages 804-12, July.
  5. Froot, Kenneth & Obstfeld, Maurice, 1991. "Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach," CEPR Discussion Papers 522, C.E.P.R. Discussion Papers.
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Cited by:
  1. Reher, Gerrit & Wilfling, Bernd, 2014. "The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 483-496.
  2. Meulemann, Max & Uebele, Martin & Wilfling, Bernd, 2014. "The restoration of the gold standard after the US Civil War: A volatility analysis," Journal of Financial Stability, Elsevier, vol. 12(C), pages 37-46.
  3. Wilfling, Bernd, 2009. "Volatility regime-switching in European exchange rates prior to monetary unification," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 240-270, March.
  4. Jean-Sébastien PENTECOTE & Marc-Alexandre SENEGAS, 2003. "Comment fixer les cours de change? Annonces et correspondances maastrichtiennes," Discussion Papers (REL - Recherches Economiques de Louvain) 2003012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  5. Naszodi, Anna, 2011. "Exchange rate dynamics under state-contingent stochastic process switching," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 896-908, September.
  6. Wilfling, Bernd & Maennig, Wolfgang, 2001. "Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 91-113, February.
  7. 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.

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