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Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay

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  • Wilfling, Bernd
  • Maennig, Wolfgang

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 20 (2001)
Issue (Month): 1 (February)
Pages: 91-113

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Handle: RePEc:eee:jimfin:v:20:y:2001:i:1:p:91-113

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Web page: http://www.elsevier.com/locate/inca/30443

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References

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  1. Svensson, Lars E. O., 1991. "The term structure of interest rate differentials in a target zone : Theory and Swedish data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 28(1), pages 87-116, August.
  2. Robert P. Flood & Peter M. Garber, 1982. "A model of stochastic process switching," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 201, Board of Governors of the Federal Reserve System (U.S.).
  3. Lars E. O. Svensson, 1990. "Target Zones and Interest Rate Variability," IMF Working Papers 90/31, International Monetary Fund.
  4. Miller, Marcus & Sutherland, Alan, 1994. "Speculative Anticipations of Sterling's Return to Gold: Was Keynes Wrong?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 104(425), pages 804-12, July.
  5. Froot, Kenneth A. & Obstfeld, Maurice, 1991. "Exchange-rate dynamics under stochastic regime shifts : A unified approach," Journal of International Economics, Elsevier, vol. 31(3-4), pages 203-229, November.
  6. Obstfeld, Maurice & Stockman, Alan C., 1985. "Exchange-rate dynamics," Handbook of International Economics, Elsevier, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977 Elsevier.
  7. Obstfeld, Maurice, 1984. "Balance-of-Payments Crises and Devaluation," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 16(2), pages 208-17, May.
  8. Djajic, Slobodan, 1989. "Dynamics of the exchange rate in anticipation of pegging," Journal of International Money and Finance, Elsevier, Elsevier, vol. 8(4), pages 559-571, December.
  9. De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1998. "Stochastic Process Switching and Stage III of EMU," CEPR Discussion Papers 1783, C.E.P.R. Discussion Papers.
  10. De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1999. "Price dynamics under stochastic process switching: some extensions and an application to EMU1," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(2), pages 195-224, February.
  11. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  12. Smith, Gregor W, 1991. "Solution to a Problem of Stochastic Process Switching," Econometrica, Econometric Society, Econometric Society, vol. 59(1), pages 237-39, January.
  13. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  14. Sutherland, Alan, 1995. "State- and time-contingent switches of exchange rate regime," Journal of International Economics, Elsevier, vol. 38(3-4), pages 361-374, May.
  15. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
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Citations

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Cited by:
  1. Iulia Siedschlag & Juergen von Hagen, 2006. "Macroeconomic Adjustment in the New EU Member States," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum, SUERF - The European Money and Finance Forum.
  2. Guglielmo Maria Caporale & Alexandros Kontonikas, 2006. "The Euro and Inflation Uncertainty in the European Monetary Union," CESifo Working Paper Series 1842, CESifo Group Munich.
  3. 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.
  4. Anna Naszódi, 2008. "Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2008/1, Magyar Nemzeti Bank (the central bank of Hungary).
  5. Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009. "Inflation and Inflation Uncertainty in the Euro Area," Discussion Papers of DIW Berlin 909, DIW Berlin, German Institute for Economic Research.
  6. Max Meulemann & Martin Uebele & Bernd Wilfling, 2011. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," CQE Working Papers 2011, Center for Quantitative Economics (CQE), University of Muenster.
  7. Naszodi, Anna, 2011. "Exchange rate dynamics under state-contingent stochastic process switching," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(5), pages 896-908, September.
  8. 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.
  9. Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Society for Computational Economics, vol. 34(4), pages 323-364, November.
  10. Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(5), pages 745-758, December.
  11. Bernd Wilfling, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 4, pages 433-457, November.
  12. Wilfling, Bernd, 2009. "Volatility regime-switching in European exchange rates prior to monetary unification," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(2), pages 240-270, March.

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