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Citations for "The Term Structure of Interest Rate Differentials in a Target Zone: Theory and Swedish Data"

by Svensson, Lars E O

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  1. Svensson, Lars E O, 1991. "The Simplest Test of Target Zone Credibility," CEPR Discussion Papers 493, C.E.P.R. Discussion Papers.
  2. J. Isaac Miller, 2008. "Testing the Bounds: Empirical Behavior of Target Zone Fundamentals," Working Papers 0803, Department of Economics, University of Missouri, revised 15 Apr 2009.
  3. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
  4. J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
  5. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Is There a Trade-off between Exchange Rate and Interest Rate Volatility? Evidence from an M-GARCH Model," International Journal of Economic Sciences, University of Economics, Prague, vol. 2012(1), pages 19-37.
  6. Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
  7. Olavi Rantala, 1992. "An econometric diffusion model of exchange rate movements within a band : implications for interest rate differential and credibility of exchange rate policy," Finnish Economic Papers, Finnish Economic Association, vol. 5(2), pages 98-109, Autumn.
  8. Lo, C.F. & Hui, C.H. & Fong, T. & Chu, S.W., 2015. "A quasi-bounded target zone model — Theory and application to Hong Kong dollar," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 1-17.
  9. Geert Bekaert & Stephen F. Gray, 1996. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
  10. Lera, Sandro Claudio & Sornette, Didier, 2016. "Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 28-47.
  11. R. Sean Craig, 1991. "EMS interest rate differentials and fiscal policy: a model with an empirical application to Italy," International Finance Discussion Papers 405, Board of Governors of the Federal Reserve System (U.S.).
  12. Maurice Obstfeld & Jay C.Shambaugh & Alan M.Taylor, 2003. "The Trilemma in History:Tradeoffs among Exchange Rates, Monetary Policies,and Capital Mobility," DNB Staff Reports (discontinued) 94, Netherlands Central Bank.
  13. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  14. Cadenillas, Abel & Zapatero, Fernando, 1999. "Optimal Central Bank Intervention in the Foreign Exchange Market," Journal of Economic Theory, Elsevier, vol. 87(1), pages 218-242, July.
  15. Maurice Obstfeld & Jay C. Shambaugh & Alan M. Taylor, 2004. "Monetary Sovereignty, Exchange Rates, and Capital Controls: The Trilemma in the Interwar period," NBER Working Papers 10393, National Bureau of Economic Research, Inc.
  16. Reher, Gerrit & Wilfling, Bernd, 2014. "The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 483-496.
  17. Werner, Alejandro M., 1995. "Exchange rate target zones, realignments and the interest rate differential: Theory and evidence," Journal of International Economics, Elsevier, vol. 39(3-4), pages 353-367, November.
  18. Svensson, Lars E. O., 1992. "The foreign exchange risk premium in a target zone with devaluation risk," Journal of International Economics, Elsevier, vol. 33(1-2), pages 21-40, August.
  19. Kathryn M. Dominguez & Peter B. Kenen, 1991. "Intramarginal Intervention in the EMS and the Target-Zone Model of Exchange-Rate Behavior," NBER Working Papers 3670, National Bureau of Economic Research, Inc.
  20. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2003. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," Working Papers 87, Barcelona Graduate School of Economics.
  21. Lin, Hwan C., 2008. "Forward-rate target zones and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 831-846, September.
  22. Gulcin Ozkan & Alan Sutherland, . "A Currency Crisis Model with an Optimising Policymaker," Discussion Papers 96/11, Department of Economics, University of York.
  23. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2008. "Exchange Rate and Interest Rate Volatility in a Target Zone: The Portuguese Case," GEMF Working Papers 2008-03, GEMF - Faculdade de Economia, Universidade de Coimbra.
  24. Ribeiro de Castro, Claudia, 1999. "Inside and Outside the Band Exchange Rate Fluctuations for Brazil," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  25. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2007. "The Optimal Degree of Exchange Rate Flexibility: a Target Zone Approach," Review of International Economics, Wiley Blackwell, vol. 15(4), pages 803-822, 09.
  26. Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, vol. 104(3), pages 87-113.
  27. Marc Flandreau & John Komlos, 2005. "Target zones in History and Theory : efficiency, credibility and policy autonomy," Working Papers hal-01065605, HAL.
  28. Forde, Martin & Kumar, Rohini & Zhang, Hongzhong, 2015. "Large deviations for the boundary local time of doubly reflected Brownian motion," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 262-268.
  29. Jelena Zubkova, 2003. "Interest Rate Term Structure in Latvia in the Monetary Policy Context," Working Papers 2003/03, Latvijas Banka.
  30. Pansard, Fabrice, 1999. "Target zones and small realignments," Economics Letters, Elsevier, vol. 64(3), pages 325-327, September.
  31. Frankel, Jeffrey & Phillips, Steven, 1992. "The European Monetary System: Credible at Last?," Oxford Economic Papers, Oxford University Press, vol. 44(4), pages 791-816, October.
  32. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  33. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
  34. M. Hashem Pesaran & Francisco J. Ruge-Murcia, 1996. "Limited-dependent rational expectations models with jumps," Discussion Paper / Institute for Empirical Macroeconomics 111, Federal Reserve Bank of Minneapolis.
  35. Lai, Ching-chong & Fang, Chung-rou & Chang, Juin-jen, 2008. "Volatility trade-offs in exchange rate target zones," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 366-379.
  36. Beetsma, R.M.W.J., 1992. "Imperfect credibility of the band and risk premia in the European Monetary System," Discussion Paper 1992-54, Tilburg University, Center for Economic Research.
  37. Margarida Abreu, 2003. "Contagion Phenomena in Financial Crises: Evidence from the Portuguese and Spanish Exchange Rate Crises in the Early Nineties," Working Papers Department of Economics 2003/05, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  38. Rose, Andrew K & Svensson, Lars E O, 1991. "Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS," CEPR Discussion Papers 552, C.E.P.R. Discussion Papers.
  39. Bernd Wilfling, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, Verein für Socialpolitik, vol. 4, pages 433-457, November.
  40. Paul Krugman & Julio Rotemberg, 1990. "Target Zones with Limited Reserves," NBER Working Papers 3418, National Bureau of Economic Research, Inc.
  41. Ignazio Angeloni & Alessandro Prati, 1996. "The identification of liquidity effects in the EMS: Italy 1991–1992," Open Economies Review, Springer, vol. 7(3), pages 275-293, July.
  42. Jean-Pierre Laffargue & Sanvi Avouyi-Dovi, 1992. "Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen," Revue Économique, Programme National Persée, vol. 43(6), pages 1107-1128.
  43. Jesús Rodríguez López & Hugo Rodríguez Mendizábal, 2002. "On the Choice of an Exchange Regime: Target Zones Revisited," Economic Working Papers at Centro de Estudios Andaluces E2002/10, Centro de Estudios Andaluces.
  44. Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
  45. Mundaca, Gabriela & Oksendal, Bernt, 1998. "Optimal stochastic intervention control with application to the exchange rate," Journal of Mathematical Economics, Elsevier, vol. 29(2), pages 225-243, March.
  46. Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
  47. 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, vol. 20(1), pages 91-113, February.
  48. Flandreau, Marc & Komlos, John, 2006. "Target zones in theory and history: Credibility, efficiency, and policy autonomy," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1979-1995, November.
  49. E Pavlidis & I Paya & D Peel, 2009. "Real Exchange Rates and Time-Varying Trade Costs," Working Papers 600537, Lancaster University Management School, Economics Department.
  50. Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G., 1995. "New evidence on the effectiveness of foreign exchange market intervention," European Economic Review, Elsevier, vol. 39(3-4), pages 501-508, April.
  51. Chorowski, Jakub & Trabs, Mathias, 2016. "Spectral estimation for diffusions with random sampling times," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 2976-3008.
  52. repec:hal:journl:halshs-00194873 is not listed on IDEAS
  53. Mundaca, Gabriela, 2003. "A Drift of the "Drift Adjustment Method"," Memorandum 16/2002, Oslo University, Department of Economics.
  54. Attilio Gardini & Giuseppe Cavaliere & Michele Costa, 1999. "A new approach to stock price modelling and the efficiency of the Italian stock exchange," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 8(1), pages 25-47, April.
  55. repec:spo:wpecon:info:hdl:2441/602 is not listed on IDEAS
  56. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF - Faculdade de Economia, Universidade de Coimbra.
  57. Alan Sutherland, 2006. "Currency Crises and the Term Structure of Interest Rates," Open Economies Review, Springer, vol. 17(1), pages 57-71, January.
  58. Kempa, Bernd & Nelles, Michael & Pierdzioch, Christian, 1999. "The term structure of interest rates in a sticky-price target zone model," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 817-834, October.
  59. Elias D. Belessakos & Christos I. Giannikos, 2002. "The "Lack" of Volatility Trade-Offs in Exchange Rate Zones with Sticky Prices," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 69-78, April.
  60. Kathleen Dorsainvil, 2006. "Exchange Rate Unification Under Non-Credibility: The Haïtian Economy," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(2), pages 229-240, May.
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