The defense of multilateral XR target zones against contagious crises
A growing literature has emerged to assess the importance and the channels of contagion during the recent currency crises which occured in the 1990s. However, little attention has been paid to the policy implications of the way to coordinate interventions in order to defend not only a single, but rather a given set of currencies altogether. To this end, a state-space model is built to describe the dynamics of many bilateral exchange rates. Using the Kalman filter, we check in particular the stability and the controllability of the system. The ERM evidence show that a successfull strategy heavily depends on both the time-horizon and the cost attached by the monetary authority to her interventions
|Date of creation:||02 Feb 2007|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.essex.ac.uk/afm/mmf/index.html|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Axel A. Weber, 1991. "Time-Varying Devaluation Risk, Interest Rate Differentials and Exchange Rates in Target Zones: Empirical Evidence from the EMS," Volkswirtschaftliche Diskussionsbeiträge 25-91, Universität Siegen, Fakultät Wirtschaftswissenschaften, Wirtschaftsinformatik und Wirtschaftsrecht.
- Edin, Per-Anders & Vredin, Anders, 1993.
"Devaluation Risk in Target Zones: Evidence from the Nordic Countries,"
Royal Economic Society, vol. 103(416), pages 161-75, January.
- Edin, P.A. & Vredin, A., 1991. "Devaluation Risk in Target Zones: Evidence from the Nordic Countries," Papers 1991g, Uppsala - Working Paper Series.
When requesting a correction, please mention this item's handle: RePEc:mmf:mmfc06:85. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.