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Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach

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Kenneth A. Froot
Maurice Obstfeld

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Abstract

Techniques of regulated Brownian motion are used to analyze the behavior of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange-rate dynamics in alternative cases where the authorities promise (i) to confine a floating rate within a predetermined range and (ii) to peg the currency once it reaches a predetermined future level. Similarities between these and several related examples of regime switching are stressed

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2835.

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Date of creation: Jun 1992
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Handle: RePEc:nbr:nberwo:2835

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  1. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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