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Exchange Rate Dynamics Under Stochastic Regime Shifts: A Unified Approach

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Cited by:

  1. 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.
  2. 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.
  3. Ma, Yue & Kanas, Angelos, 2000. "Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 69-82, January.
  4. Ricardo Hausmann, 1995. "Dealing with Negative Oil Shocks: The Venezuelan Experience in the Eighties," Research Department Publications 4010, Inter-American Development Bank, Research Department.
  5. Carl Chiarella, 1992. "Developments in Nonlinear Economic Dynamics: Past, Present and Future," Working Paper Series 14, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  6. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  7. Helpman, E. & Leiderman, L., 1991. "Exchange Rate Systems: New Perspectives," Papers 3-91, Tel Aviv.
  8. Ricardo Hausmann, 1995. "Manejo de sacudidas petroleras negativas: la experiencia venezolana en los años 80," Research Department Publications 4011, Inter-American Development Bank, Research Department.
  9. Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
  10. Driffill, John & Sola, Martin, 2006. "Target zones for exchange rates and policy changes," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 912-931, October.
  11. Taylor, Mark P. & Iannizzotto, Matteo, 2001. "On the mean-reverting properties of target zone exchange rates: a cautionary note," Economics Letters, Elsevier, vol. 71(1), pages 117-129, April.
  12. Miller, Marcus & Sutherland, Alan, "undated". "Britain's Return to Gold and Impending Entry into the EMS: Expectations, Joining Conditions and Credibility," Economic Research Papers 268481, University of Warwick - Department of Economics.
  13. Cornell, Christopher M., 2003. "Target zones, reserve crises, and inverted S-curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 313-323, October.
  14. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 115-129, April.
  15. Sugita, Katsuhiro, 2008. "Bayesian analysis of a Markov switching temporal cointegration model," Japan and the World Economy, Elsevier, vol. 20(2), pages 257-274, March.
  16. Radeck, Karin, 2002. "Wechselkurszielzonen, wirtschaftlicher Aufholprozess und endogene Realignmentrisiken," Discussion Paper Series 1: Economic Studies 2002,30, Deutsche Bundesbank.
  17. Jean-Sébastien Pentecôte & Thierry Roncalli, 1996. "Retour à la moyenne dans les cours du change du mécanisme de change européen : 1987-1995," Économie et Prévision, Programme National Persée, vol. 123(2), pages 189-205.
  18. Pill, Huw, 1996. "Evaluating target zone models in EMS data," Economics Letters, Elsevier, vol. 52(2), pages 199-204, August.
  19. 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.
  20. Beetsma, Roel M. W. J. & van der Ploeg, Frederick, 1998. "Macroeconomic stabilization and intervention policy under an exchange rate band," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 339-353, April.
  21. Piersanti, Giovanni, 2012. "The Macroeconomic Theory of Exchange Rate Crises," OUP Catalogue, Oxford University Press, number 9780199653126.
  22. Beetsma, Roel M W J & van der Ploeg, Frederick, 1994. "Intramarginal Interventions, Bands and the Pattern of EMS Exchange Rate Distributions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 583-602, August.
  23. Mizrach, Bruce, 1995. "Target zone models with stochastic realignments: an econometric evaluation," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 641-657, October.
  24. Galindo, Arturo J. & Maloney, William F., 1998. "Second thoughts on second moments : panel evidence on asset-based models of currency crises," Policy Research Working Paper Series 1939, The World Bank.
  25. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Papers (Old Series) 9109, Federal Reserve Bank of Cleveland.
  26. 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.
  27. Remzi Uctum, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482.
  28. Lars E. O. Svensson, 1992. "An Interpretation of Recent Research on Exchange Rate Target Zones," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 119-144, Fall.
  29. Oppers, Stefan Erik, 2000. "A model of the bimetallic system," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 517-533, October.
  30. Fang, Chung-rou & Lai, Ching-chong, 2002. "Targeting nominal income versus targeting price level: A target zone perspective," International Review of Economics & Finance, Elsevier, vol. 11(3), pages 229-249.
  31. Delgado, Francisco & Dumas, Bernard, 1993. "Monetary contracting between central banks and the design of sustainable exchange-rate zones," Journal of International Economics, Elsevier, vol. 34(3-4), pages 201-224, May.
  32. 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 - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  33. Guillaume Bazot & Eric Monnet & Matthias Morys, 2024. "Central banks and the absorption of international shocks (1891-2019)," Working Papers halshs-04778323, HAL.
  34. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics and Public Policy Working Papers 2011-26, University of Adelaide, School of Economics and Public Policy.
  35. Baghli Mustapha, 2005. "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-43, March.
  36. Giuseppe Bertola & Lars E. O. Svensson, 1993. "Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(3), pages 689-712.
  37. 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.
  38. 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.
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  40. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
  41. Kuang-Liang Chang & Nan-Kuang Chen & Charles Leung, 2011. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
  42. Hui, Cho-Hoi & Wong, Andrew & Lo, Chi-Fai, 2025. "Stablecoin price dynamics under a peg-stabilising mechanism," Journal of International Money and Finance, Elsevier, vol. 152(C).
  43. Meulemann, Max & Uebele, Martin & Wilfling, Bernd, 2014. "The restoration of the gold standard after the US Civil War: A volatility analysis," Journal of Financial Stability, Elsevier, vol. 12(C), pages 37-46.
  44. Smith, Gregor W., 1995. "Exchange-rate discounting," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 659-666, October.
  45. Hudepohl, Tom & van Lamoen, Ryan & de Vette, Nander, 2021. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 118(C).
  46. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  47. Goldberg, Linda S., 1995. "Exchange rate regime reforms with black market leakages," Journal of Development Economics, Elsevier, vol. 48(1), pages 167-187, October.
  48. Patrick Artus, 1992. "Passage à l'union économique et monétaire en Europe : effets sur la croissance et les politiques budgétaires," Économie et Prévision, Programme National Persée, vol. 106(5), pages 123-137.
  49. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
  50. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2013. "Exchange Rate Target Zones: A Survey Of The Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 247-268, April.
  51. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16, June.
  52. Susan M. Collins, 1992. "The Expected Timing of EMS Realignments: 1979-83," NBER Working Papers 4068, National Bureau of Economic Research, Inc.
  53. Donald A. R., George & Les, Oxley, 2013. "Rational Expectations Dynamics: A Methodological Critique," SIRE Discussion Papers 2013-45, Scottish Institute for Research in Economics (SIRE).
  54. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
  55. Toshio Utsunomiya, 2013. "A new approach to the effect of intervention frequency on the foreign exchange market: evidence from Japan," Applied Economics, Taylor & Francis Journals, vol. 45(26), pages 3742-3759, September.
  56. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 2001. "An empirical reassessment of target-zone nonlinearities," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 533-548, August.
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  58. Jess Rodr?uez L?ez & Hugo Rodr?uez Mendiz?al, 2002. "On the Choice of an Exchange Rate Regime: Target Zones Revisited," UFAE and IAE Working Papers 518.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
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  61. Svensson, Lars E. O., 1991. "The term structure of interest rate differentials in a target zone : Theory and Swedish data," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 87-116, August.
  62. 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, September.
  63. Gabriel de Koch & Vittorio Grilli, 1989. "Endogenous Exchange Rate Regime Switches," NBER Working Papers 3066, National Bureau of Economic Research, Inc.
  64. Joon-Hwan Im, 2001. "Optimal Currency Target Zones: How Wide Should Exchange Rate Bands Be?," International Economic Journal, Taylor & Francis Journals, vol. 15(1), pages 61-93.
  65. 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.
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