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

  • 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. 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 38, California Los Angeles - Applied Econometrics.
    2. Bertola, Giuseppe & Caballero, Ricardo, 1990. "Target Zones and Realignments," CEPR Discussion Papers 398, C.E.P.R. Discussion Papers.
    3. Geert Bekaert & Stephen F. Gray, 1999. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
    4. Juan Ayuso & Maria Perez-Jurado, 1997. "Devaluations and depreciation expectations in the EMS," Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 471-484.
    5. Lars E. O. Svensson, 1991. "The Simplest Test of Target Zone Credibility," IMF Staff Papers, Palgrave Macmillan, vol. 38(3), pages 655-665, September.
    6. Bertola, Giuseppe & Svensson, Lars E O, 1991. "Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models," CEPR Discussion Papers 513, C.E.P.R. Discussion Papers.
    7. Soderlind, P & Svensson, L-E-O, 1996. "New Techniques to Extract Market Expectations from Financial Instruments," Papers 621, Stockholm - International Economic Studies.
    8. Holt, Matthew & Johnson, Stanley R., 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," Staff General Research Papers 267, Iowa State University, Department of Economics.
    9. Krugman, Paul R, 1991. "Target Zones and Exchange Rate Dynamics," The Quarterly Journal of Economics, MIT Press, vol. 106(3), pages 669-82, August.
    10. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
    11. Pesaran, M. Hashem & Samiei, Hossein, 1995. "Limited-dependent rational expectations models with future expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 19(8), pages 1325-1353, November.
    12. Bruce Mizrach, 1993. "Target zone models with stochastic realignments: an econometric evaluation," Research Paper 9302, Federal Reserve Bank of New York.
    13. 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.
    14. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-85, July.
    15. Robert P. Flood & Peter M. Garber, 1982. "A model of stochastic process switching," International Finance Discussion Papers 201, Board of Governors of the Federal Reserve System (U.S.).
    16. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January.
    17. Lee, L.F., 1993. "Rational Expectations in Limited Dependent Variable Models," Papers 93-20, Michigan - Center for Research on Economic & Social Theory.
    18. 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, vol. 17(1), pages 50-66, January.
    19. Pesaran, M. Hashem & Samiei, Hossein, 1992. "Estimating limited-dependent rational expectations models with an application to exchange rate determination in a target zone," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 141-163.
    20. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
    21. 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.
    22. David H. Papell, 1984. "Monetarist Monetary Policy, Exchange Risk, and Exchange Rate Variability," NBER Working Papers 1306, National Bureau of Economic Research, Inc.
    23. Amemiya, Takeshi, 1984. "Tobit models: A survey," Journal of Econometrics, Elsevier, vol. 24(1-2), pages 3-61.
    24. Bertola, Giuseppe & Caballero, Ricardo, 1991. "Sustainable Intervention Policies and Exchange Rate Dynamics," CEPR Discussion Papers 504, C.E.P.R. Discussion Papers.
    25. Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
    26. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    27. Tristani, Oreste, 1994. " Variable Probability of Realignment in a Target Zone," Scandinavian Journal of Economics, Wiley Blackwell, vol. 96(1), pages 1-14.
    28. Gomez-Puig, Marta & Montalvo, JoseG., 1997. "A new indicator to assess the credibility of the EMS," European Economic Review, Elsevier, vol. 41(8), pages 1511-1535, August.
    29. Pesaran, M.H. & Murcia, F.J., 1993. "Limited-Dependent Rational Expectations Models with Stochastic Thresholds," Cambridge Working Papers in Economics 9318, Faculty of Economics, University of Cambridge.
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