Risk Neutrality and the Two-Tier Foreign Exchange Market: Evidence from Belgium
Most of the literature on two-tier exchange markets is built around models in which domestic policy can exert a powerful influence on the spread between the current account exchange rate and the capital account exchange rate. We show that if optimizing agents are risk neutral, domestic policy has no significant influence on the spread. Our work with Belgian data suggests that a nsk neutral specification for Belgian residents acting in the two-tier market is hard to reject, and we also find evidence that domestic variables do not affect the Belgian spread.
|Date of creation:||Jun 1989|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
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.:
- Rudiger Dornbusch, 1985.
"Special Exchange Rates for Capital Account Transactions,"
NBER Working Papers
1659, National Bureau of Economic Research, Inc.
- Dornbusch, Rudiger, 1986. "Special Exchange Rates for Capital Account Transactions," World Bank Economic Review, World Bank Group, vol. 1(1), pages 3-33, September.
- Robert P. Flood & Nancy Peregrim Marion, 1982. "The Transmission of Disturbances under Alternative Exchange-Rate Regimes with Optimal Indexing," The Quarterly Journal of Economics, Oxford University Press, vol. 97(1), pages 43-66.
- Adams, Charles & Greenwood, Jeremy, 1985. "Dual exchange rate systems and capital controls: An investigation," Journal of International Economics, Elsevier, vol. 18(1-2), pages 43-63, February.
- Phylaktis, Kate, 1988. "Capital controls: The case of Argentina," Journal of International Money and Finance, Elsevier, vol. 7(3), pages 303-320, September.
- Anthony Lanyi, 1975. "Separate Exchange Markets for Capital and Current Transactions (MarchÃ©s des changes distincts pour les opÃ©rations sur capital et les opÃ©rations courantes) (Mercados cambiarios separados para las tr," IMF Staff Papers, Palgrave Macmillan, vol. 22(3), pages 714-749, November.
- Daniel Gros, 1988. "Dual Exchange Rates in the Presence of Incomplete Market Separation: Long-Run Effectiveness and Policy Implications," IMF Staff Papers, Palgrave Macmillan, vol. 35(3), pages 437-460, September.
- Maurice Obstfeld, 1984.
"Capital Controls, The Dual Exchange Rate, and Devaluation,"
NBER Working Papers
1324, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1986. "Capital controls, the dual exchange rate, and devaluation," Journal of International Economics, Elsevier, vol. 20(1-2), pages 1-20, February.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Bhandari, Jagdeep S. & Decaluwe, Bernard, 1987. "A stochastic model of incomplete separation between commercial and financial exchange markets," Journal of International Economics, Elsevier, vol. 22(1-2), pages 25-55, February.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:3015. 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: ()
If references are entirely missing, you can add them using this form.