IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "A Model of Stochastic Process Switching"

by Robert P. Flood & Peter M. Garber

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Favero, Carlo A. & Giavazzi, Francesco & Iacone, Fabrizio & Guido Tabellini, 2000. "Extracting information from asset prices: The methodology of EMU calculators," European Economic Review, Elsevier, vol. 44(9), pages 1607-1632, October.
  2. Bernard Dumas & Lars E.O. Svensson, 1991. "How Long do Unilateral Target Zones Last?," NBER Working Papers 3931, National Bureau of Economic Research, Inc.
  3. Uctum, Remzi, 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, décembre.
  4. Willem H. Buiter, 1986. "A "Gold Standard" Isn't Viable Unless Supported by Sufficiently FlexibleMonetary and Fiscal Policy," NBER Working Papers 1903, National Bureau of Economic Research, Inc.
  5. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  6. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  7. Max Meulemann & Martin Uebele & Bernd Wilfling, 2012. "The Restoration of the Gold Standard after the US Civil War: A Volatility Analysis," Global COE Hi-Stat Discussion Paper Series gd12-251, Institute of Economic Research, Hitotsubashi University.
  8. Ross Levine, 1988. "The forward exchange rate bias: a new explanation," International Finance Discussion Papers 338, Board of Governors of the Federal Reserve System (U.S.).
  9. Anna Naszódi, 2008. "Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?," MNB Working Papers 2008/1, Magyar Nemzeti Bank (the central bank of Hungary).
  10. Francisco Delgado & Bernard Dumas, 1991. "Target Zones Big and Small," NBER Working Papers 3601, National Bureau of Economic Research, Inc.
  11. Gagnon, Gregory, 2004. "Exchange rate fluctuations in an economy with noise traders," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 45-63, March.
  12. Oppers, S.E., 1993. "A Model of the Bimetallic System," Working Papers 332, Research Seminar in International Economics, University of Michigan.
  13. Hashimoto, Yuko, 2003. "An empirical test of likelihood and timing of speculative attacks: the case of Malaysia and Singapore," Japan and the World Economy, Elsevier, vol. 15(2), pages 245-259, April.
  14. Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
  15. Jean-Sébastien PENTECOTE & Marc-Alexandre SENEGAS, 2003. "Comment fixer les cours de change? Annonces et correspondances maastrichtiennes," Discussion Papers (REL - Recherches Economiques de Louvain) 2003012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  16. Naszodi, Anna, 2011. "Exchange rate dynamics under state-contingent stochastic process switching," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 896-908, September.
  17. Obstfeld, Maurice & Stockman, Alan C., 1985. "Exchange-rate dynamics," Handbook of International Economics, in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977 Elsevier.
  18. Sutherland, Alan, 1995. "State- and time-contingent switches of exchange rate regime," Journal of International Economics, Elsevier, vol. 38(3-4), pages 361-374, May.
  19. Veestraeten, Dirk, 2012. "Transition probabilities in a problem of stochastic process switching," Economics Letters, Elsevier, vol. 114(2), pages 201-204.
  20. Kenneth S. Rogoff, 1984. "Can exchange rate predictability be achieved without monetary convergence? : evidence from the EMS," International Finance Discussion Papers 245, Board of Governors of the Federal Reserve System (U.S.).
  21. 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.
  22. M. Isabel Campos & Zenon Jimenez-Ridruejo, 2003. "Were the peseta exchange rate crises forecastable during target zone period?," Applied Economics, Taylor & Francis Journals, vol. 35(9), pages 1087-1099.
  23. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "An Empirical Exploration of Exchange Rate Target-Zones," NBER Working Papers 3543, National Bureau of Economic Research, Inc.
  24. James M. Boughton & William H. Branson & Alphecca Muttardy, 1989. "Commodity Prices and Inflation: Evidence From Seven Large Industrial Countries," NBER Working Papers 3158, National Bureau of Economic Research, Inc.
  25. Michael Pippenger & Gregory Goering, 1998. "Exchange Rate Forecasting: Results from a Threshold Autoregressive Model," Open Economies Review, Springer, vol. 9(2), pages 157-170, April.
  26. 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.
  27. Paul Krugman & Julio Rotemberg, 1990. "Target Zones with Limited Reserves," NBER Working Papers 3418, National Bureau of Economic Research, Inc.
  28. Hans Dewachter & Dirk Veestraeten, 1999. "Measuring Convergence Speed of Asset Prices Toward a Pre-Announced Target," Center for Economic Studies - Discussion papers ces9902, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  29. M. Isabel Campos & Zenón Jiménez-Ridruejo, . "Were the Peseta Exchange Rate Crises Forecastable During Target Zone Period?," Working Papers on International Economics and Finance 00-07, FEDEA.
  30. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "Is the EMS the perfect fix? An empirical exploration of exchange rate target zones," International Finance Discussion Papers 388, Board of Governors of the Federal Reserve System (U.S.).
  31. Flood, Robert P. & Hodrick, Robert J., 1986. "Real aspects of exchange rate regime choice with collapsing fixed rates," Journal of International Economics, Elsevier, vol. 21(3-4), pages 215-232, November.
  32. Herschel I. Grossman, 1984. "Counterfactuals, Forecasts, and Choice-Theoretic Modelling of Policy," NBER Working Papers 1381, National Bureau of Economic Research, Inc.
  33. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
  34. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
  35. Karen K. Lewis, 1995. "Stochastic Regime Switching and Stabilizing Policies within Regimes," NBER Working Papers 5289, National Bureau of Economic Research, Inc.
  36. Antoine Magnier, 1992. "Théorie des zones cibles et fonctionnement du SME," Économie et Prévision, Programme National Persée, vol. 104(3), pages 87-113.
  37. Robert Amano & Richard Black & Marcel Kasumovich, 1997. "A Band-Aid Solution to Inflation Targeting," Working Papers 97-11, Bank of Canada.
  38. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association.
  39. Maurice Obstfeld, 1988. "Competitiveness, Realignment, and Speculation: The Role of Financial Markets," NBER Working Papers 2539, National Bureau of Economic Research, Inc.
  40. Stephen J. Turnovsky & Jian Xu, 2002. "Speculative Attacks and the Dynamics of Exchange Rates," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 219-248, November.
  41. François, Pascal & Morellec, Erwan, 2008. "Closed-form solutions to stochastic process switching problems," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1072-1083, December.
  42. Paul R. Krugman, 1987. "Trigger Strategies and Price Dynamics in Equity and Foreign Exchange Markets," NBER Working Papers 2459, National Bureau of Economic Research, Inc.
  43. 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.
  44. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer, vol. 35(1), pages 29-58, May.
  45. Gagnon, Gregory, 2003. "Random perturbations of deterministic equilibria," Journal of Economic Theory, Elsevier, vol. 111(1), pages 135-146, July.
  46. Rodolfo E. Manuelli, 1986. "Modern business cycle analysis: a guide to the Prescott-Summers debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-8.
  47. Corrado, Luisa & Holly, Sean, 2000. "A currency crisis model with a misaligned central parity: a stochastic analysis," Economics Letters, Elsevier, vol. 67(1), pages 61-68, April.
  48. R.D. Rossiter, 2002. "Term structure of forward exchange premiums: evidence from the 1920s," Journal of Economic Studies, Emerald Group Publishing, vol. 29(1), pages 33-47, January.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.