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Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case

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  • Campos, M. Isabel
  • Herrera, Julio
  • Jimenez-Ridruejo, Zenon
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    File URL: http://www-sre.wu-wien.ac.at/ersa/ersaconfs/ersa99/Papers/A183.PDF
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    Paper provided by European Regional Science Association in its series ERSA conference papers with number ersa99pa183.

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    Date of creation: Aug 1999
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    Handle: RePEc:wiw:wiwrsa:ersa99pa183

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    1. Bertola, Giuseppe & Caballero, Ricardo J, 1992. "Target Zones and Realignments," American Economic Review, American Economic Association, American Economic Association, vol. 82(3), pages 520-36, June.
    2. Flood, Robert P & Garber, Peter M, 1983. "A Model of Stochastic Process Switching," Econometrica, Econometric Society, Econometric Society, vol. 51(3), pages 537-51, May.
    3. Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers, Stockholm - International Economic Studies 621, Stockholm - International Economic Studies.
    4. Svensson, Lars E O, 1991. "The Simplest Test of Target Zone Credibility," CEPR Discussion Papers, C.E.P.R. Discussion Papers 493, C.E.P.R. Discussion Papers.
    5. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 564, Cowles Foundation for Research in Economics, Yale University.
    6. Bertola, Giuseppe & Caballero, Ricardo, 1991. "Sustainable Intervention Policies and Exchange Rate Dynamics," CEPR Discussion Papers, C.E.P.R. Discussion Papers 504, C.E.P.R. Discussion Papers.
    7. Lee, L.F., 1993. "Rational Expectations in Limited Dependent Variable Models," Papers, Michigan - Center for Research on Economic & Social Theory 93-20, Michigan - Center for Research on Economic & Social Theory.
    8. Bekaert, Geert & Gray, Stephen F., 1998. "Target zones and exchange rates:: An empirical investigation," Journal of International Economics, Elsevier, Elsevier, vol. 45(1), pages 1-35, June.
    9. Pesaran, M.H. & Samiei, H., 1991. "An Analysis of the determination of Dutsche Mark/French Franc Exchange rate in a Discrete-Time Target-Zone Model," Papers, California Los Angeles - Applied Econometrics 38, California Los Angeles - Applied Econometrics.
    10. Tristani, Oreste, 1994. " Variable Probability of Realignment in a Target Zone," Scandinavian Journal of Economics, Wiley Blackwell, Wiley Blackwell, vol. 96(1), pages 1-14.
    11. Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November.
    12. Pesaran, M. Hashem & Samiei, Hossein, 1995. "Limited-dependent rational expectations models with future expectations," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 19(8), pages 1325-1353, November.
    13. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 513, C.E.P.R. Discussion Papers.
    14. David H. Papell, 1983. "Activist Monetary Policy and Exchange Rate Overshooting: The Deutsche Mark/Dollar Rate," NBER Working Papers 1195, National Bureau of Economic Research, Inc.
    15. Pesaran, M Hashem & Ruge-Murcia, Francisco J, 1999. "Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model with Jumps," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(1), pages 50-66, January.
    16. Hashem Pesaran, M. & Ruge-Murcia, Francisco J., 1996. "Limited-dependent rational expectations models with stochastic thresholds," Economics Letters, Elsevier, Elsevier, vol. 51(3), pages 267-276, June.
    17. Gomez-Puig, Marta & Montalvo, JoseG., 1997. "A new indicator to assess the credibility of the EMS," European Economic Review, Elsevier, Elsevier, vol. 41(8), pages 1511-1535, August.
    18. M. Hashem Pesaran & Hossein Samiei, 1991. "Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone," UCLA Economics Working Papers, UCLA Department of Economics 612, UCLA Department of Economics.
    19. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 106(3), pages 669-82, August.
    20. David H. Papell, 1984. "Monetarist Monetary Policy, Exchange Risk, and Exchange Rate Variability," NBER Working Papers 1306, National Bureau of Economic Research, Inc.
    21. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    22. Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers, Federal Reserve Bank of Minneapolis 135, Federal Reserve Bank of Minneapolis.
    23. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, Elsevier, vol. 24(1-2), pages 3-61.
    24. Holt, Matthew T & Johnson, Stanley R, 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 605-13, November.
    25. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(5), pages 641-657, October.
    26. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 3R, Cowles Foundation for Research in Economics, Yale University.
    27. Juan Ayuso & Maria Perez-Jurado, 1997. "Devaluations and depreciation expectations in the EMS," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(4), pages 471-484.
    28. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 49-73, January.
    29. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, American Economic Association, vol. 69(4), pages 610-22, September.
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