Advanced Search
MyIDEAS: Login

Citations for "A Model of Stochastic Process Switching"

by Robert P. Flood & Peter M. Garber

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Dumas, B. & Svensson, L.E.O., 1991. "How Long do Unilateral Target Zones last?," Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research 1991-2, Wharton School - Weiss Center for International Financial Research.
  2. Gagnon, Gregory, 2003. "Random perturbations of deterministic equilibria," Journal of Economic Theory, Elsevier, Elsevier, vol. 111(1), pages 135-146, July.
  3. Kenneth S. Rogoff, 1984. "Can exchange rate predictability be achieved without monetary convergence? : evidence from the EMS," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 245, Board of Governors of the Federal Reserve System (U.S.).
  4. Stefan E. Oppers, 1995. "A Model of the Bimetallic System," IMF Working Papers, International Monetary Fund 95/144, International Monetary Fund.
  5. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer, Springer, vol. 35(1), pages 29-58, May.
  6. Mark Trede & Bernd Wilfling, 2007. "Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data," Empirical Economics, Springer, Springer, vol. 33(1), pages 23-39, July.
  7. Rodolfo E. Manuelli, 1986. "Modern business cycle analysis: a guide to the Prescott-Summers debate," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-8.
  8. 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).
  9. M. Isabel Campos & Zenon Jimenez-Ridruejo, 2003. "Were the peseta exchange rate crises forecastable during target zone period?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(9), pages 1087-1099.
  10. Cornell, Christopher M., 2003. "Target zones, reserve crises, and inverted S-curves," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 313-323, October.
  11. 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, Elsevier, vol. 20(1), pages 91-113, February.
  12. Stephen J. Turnovsky & Jian Xu, 2002. "Speculative Attacks and the Dynamics of Exchange Rates," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 219-248, November.
  13. Herschel I. Grossman, 1984. "Counterfactuals, Forecasts, and Choice-Theoretic Modelling of Policy," NBER Working Papers 1381, National Bureau of Economic Research, Inc.
  14. Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print, HAL halshs-00174034, HAL.
  15. Max Meulemann & Martin Uebele & Bernd Wilfling, 2012. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-251, Institute of Economic Research, Hitotsubashi University.
  16. Corrado, Luisa & Holly, Sean, 2000. "A currency crisis model with a misaligned central parity: a stochastic analysis," Economics Letters, Elsevier, Elsevier, vol. 67(1), pages 61-68, April.
  17. Donald J. Mathieson & Robert P. Flood & Andrew K. Rose, 1991. "An Empirical Exploration of Exchange Rate Target-Zones," IMF Working Papers, International Monetary Fund 91/15, International Monetary Fund.
  18. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2690-2703, October.
  19. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  20. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, Elsevier, vol. 102(2), pages 365-398, June.
  21. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 338, Board of Governors of the Federal Reserve System (U.S.).
  22. Hans Dewachter & Dirk Veestraeten, 2001. "Measuring convergence speed of asset prices toward a pre-announced target," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(6), pages 591-601.
  23. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "Is the EMS the perfect fix? An empirical exploration of exchange rate target zones," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 388, Board of Governors of the Federal Reserve System (U.S.).
  24. Veestraeten, Dirk, 2012. "Transition probabilities in a problem of stochastic process switching," Economics Letters, Elsevier, Elsevier, vol. 114(2), pages 201-204.
  25. Willem H. Buiter, 1986. "A "Gold Standard" Isn't Viable Unless Supported by Sufficiently FlexibleMonetary and Fiscal Policy," NBER Working Papers 1903, National Bureau of Economic Research, Inc.
  26. 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.
  27. Francisco Delgado & Bernard Dumas, 1991. "Target Zones Big and Small," NBER Working Papers 3601, National Bureau of Economic Research, Inc.
  28. Sutherland, Alan, 1995. "State- and time-contingent switches of exchange rate regime," Journal of International Economics, Elsevier, Elsevier, vol. 38(3-4), pages 361-374, May.
  29. 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.
  30. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
  31. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc.
  32. Maurice Obstfeld, 1988. "Competitiveness, Realignment, and Speculation: The Role of Financial Markets," NBER Working Papers 2539, National Bureau of Economic Research, Inc.
  33. Michael Pippenger & Gregory Goering, 1998. "Exchange Rate Forecasting: Results from a Threshold Autoregressive Model," Open Economies Review, Springer, Springer, vol. 9(2), pages 157-170, April.
  34. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, Elsevier, vol. 38(3-4), pages 199-222, May.
  35. Karen K. Lewis, 1995. "Stochastic Regime Switching and Stabilizing Policies within Regimes," NBER Working Papers 5289, National Bureau of Economic Research, Inc.
  36. Robert Amano & Richard Black & Marcel Kasumovich, 1997. "A Band-Aid Solution to Inflation Targeting," Working Papers, Bank of Canada 97-11, Bank of Canada.
  37. Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, Elsevier, vol. 21(3-4), pages 215-232, November.
  38. Paul Krugman & Julio Rotemberg, 1990. "Target Zones with Limited Reserves," NBER Working Papers 3418, National Bureau of Economic Research, Inc.
  39. Gagnon, Gregory, 2004. "Exchange rate fluctuations in an economy with noise traders," Journal of Macroeconomics, Elsevier, Elsevier, vol. 26(1), pages 45-63, March.
  40. Carlo A. Favero & Francesco Giavazzi & Fabrizio Iacone & Guido Tabellini, . "Extracting Information from Asset Prices: the Methodology of EMU Calculators," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 113, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  41. 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.
  42. Jean-Sébastien Pentecôte & Marc-Alexandre Sénégas, 2003. "Comment fixer les cours de change?. Annonces et correspondances maastrichtiennes," Recherches économiques de Louvain, De Boeck Université, De Boeck Université, vol. 69(1), pages 39-71.
  43. James M. Boughton & William H. Branson & Alphecca Muttardy, 1989. "Commodity Prices and Inflation: Evidence From Seven Large Industrial Countries," NBER Working Papers 3158, National Bureau of Economic Research, Inc.
  44. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association.
  45. Hashimoto, Yuko, 2003. "An empirical test of likelihood and timing of speculative attacks: the case of Malaysia and Singapore," Japan and the World Economy, Elsevier, Elsevier, vol. 15(2), pages 245-259, April.
  46. M. Isabel Campos & Zenón Jiménez-Ridruejo, . "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
  47. Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 104(3), pages 87-113.