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Volumn 109, Issue 454, 1999, Pages 96-110

The target zone model, non-linearity and mean reversion: Is the honeymoon really over?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0010745065     PISSN: 00130133     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0297.00419     Document Type: Conference Paper
Times cited : (25)

References (25)
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    • April
    • Beetsma, R. M. W. J. (1995). 'EMS exchange rate bands: a Monte Carlo investigation of three target zone models' Journal of International Money and Finance, vol. 14, (April), pp. 311-28.
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    • Beetsma, R.M.W.J.1
  • 5
    • 84967503968 scopus 로고
    • A univariate analysis of EMS exchange rates using a target zone model
    • January-March
    • De Jong, F. (1994). 'A univariate analysis of EMS exchange rates using a target zone model' Journal of Applied Econometrics, vol. 9, (January-March), pp. 31-45.
    • (1994) Journal of Applied Econometrics , vol.9 , pp. 31-45
    • De Jong, F.1
  • 6
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    • Distribution of the estimators for auto-regressive time series with a unit root
    • June
    • Dickey, D. and Fuller, W. A. (1979). 'Distribution of the estimators for auto-regressive time series with a unit root' Journal of the American Statistical Association, vol. 74, (June), pp. 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.1    Fuller, W.A.2
  • 7
    • 0000593389 scopus 로고
    • Simulated moments estimation of Markov models of asset prices
    • July
    • Duffie, D. and Singleton, K. J. (1993). 'Simulated moments estimation of Markov models of asset prices' Econometrica, vol. 61, (July), pp. 929-52.
    • (1993) Econometrica , vol.61 , pp. 929-952
    • Duffie, D.1    Singleton, K.J.2
  • 11
    • 0000345325 scopus 로고
    • Exchange rate dynamics under stochastic regime shifts
    • November
    • Froot, K. A. and Obstfeld, M. (1991). 'Exchange rate dynamics under stochastic regime shifts' Journal of International Economics, vol. 31, (November), pp. 203-29.
    • (1991) Journal of International Economics , vol.31 , pp. 203-229
    • Froot, K.A.1    Obstfeld, M.2
  • 12
    • 0000414660 scopus 로고
    • Large sample properties of generalised method of moments estimators
    • July
    • Hansen, L. P. (1982). 'Large sample properties of generalised method of moments estimators' Econometrica, vol. 50, (July), pp. 1029-54.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 14
    • 0000277964 scopus 로고
    • Target zones and exchange rate dynamics
    • August
    • Krugman, P. (1991). 'Target zones and exchange rate dynamics' Quarterly Journal of Economics, vol. 106, (August), pp. 669-82.
    • (1991) Quarterly Journal of Economics , vol.106 , pp. 669-682
    • Krugman, P.1
  • 15
    • 0001717704 scopus 로고
    • Simulation estimation of time-series models
    • February-March
    • Lee, B. S. and Ingram, B. F. (1991). 'Simulation estimation of time-series models' Journal of Econometrics, vol. 47, (February-March), pp. 197-205.
    • (1991) Journal of Econometrics , vol.47 , pp. 197-205
    • Lee, B.S.1    Ingram, B.F.2
  • 16
    • 0001366631 scopus 로고
    • Testing the basic target zone model on Swedish data 1982-1990
    • August
    • Lindberg, H. and Söderlind, P. (1994). 'Testing the basic target zone model on Swedish data 1982-1990' European Economic Review, vol. 38, (August), pp. 1441-69.
    • (1994) European Economic Review , vol.38 , pp. 1441-1469
    • Lindberg, H.1    Söderlind, P.2
  • 18
    • 0000197893 scopus 로고
    • Target zone models with stochastic realignments: An econometric evaluation
    • October
    • Mizrach, B. (1995). 'Target zone models with stochastic realignments: an econometric evaluation' Journal of International Money Finance, vol. 14, (October), pp. 641-57.
    • (1995) Journal of International Money Finance , vol.14 , pp. 641-657
    • Mizrach, B.1
  • 19
    • 0000706085 scopus 로고
    • A simple, positive definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • June
    • Newey, W. K. and West, K. D. (1987). 'A simple, positive definite, heteroskedasticity and autocorrelation consistent covariance matrix' Econometrica, vol. 55, (June), pp. 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 20
    • 43949149017 scopus 로고
    • European exchange rate credibility before the fall
    • June
    • Rose, A. K. and Svensson, L. E. O. (1994). 'European exchange rate credibility before the fall' European Economic Review, vol. 38, (June), pp. 1185-216.
    • (1994) European Economic Review , vol.38 , pp. 1185-1216
    • Rose, A.K.1    Svensson, L.E.O.2
  • 22
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    • An interpretation of recent research on exchange rate target zones
    • Fall
    • Svensson, L. E. O. (1992). 'An interpretation of recent research on exchange rate target zones' Journal of Economic Perspectives, vol. 6, (Fall), pp. 119-44.
    • (1992) Journal of Economic Perspectives , vol.6 , pp. 119-144
    • Svensson, L.E.O.1
  • 23
    • 43949169857 scopus 로고
    • Assessing target zone credibility
    • May
    • Svensson, L. E. O. (1993). 'Assessing target zone credibility' European Economic Review, vol. 37, (May), pp. 763-802.
    • (1993) European Economic Review , vol.37 , pp. 763-802
    • Svensson, L.E.O.1
  • 25
    • 0003802346 scopus 로고
    • Washington : Institute for International Economics
    • Williamson, J. (1985). The Exchange Rate System Washington : Institute for International Economics.
    • (1985) The Exchange Rate System
    • Williamson, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.