An arbitrage free trilateral target zone model

Journal of International Money and Finance

Volumn 15, Issue 1, 1996, Pages 117-134

  JØrgensen, BjØrn N ^a   Mikkelsen, Hans Ole Æ ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 16144366325     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/0261-5606(95)00050-X     Document Type: Article

References (18)

1. BERTOLA, GIUSEPPE AND RICARDO J. CABALLERO, 'Target zones and realignments,' American Economic Review, June 1992, 82: 520-536.
2. BERTOLA, GIUSEPPE AND LARS E. O. SVENSSON, 'Stochastic devaluation risk and the empirical fit of target zone models,' NBER Working Paper No. 3576, 1991.
3. COX, JOHN C., JONATHAN E. INGERSOLL, Jr., AND STEPHEN A. ROSS, 'A theory of the term structure of interest rates,' Econometrica, March 1985, 53: 385-407.
4. DUFFIE, DARRELL AND KENNETH J. SINGLETON, 'Simulated moments estimation of Markov models of asset prices,' Econometrica, July 1993, 61: 929-952.
5. FROOT, KENNETH A. AND MAURICE OBSTFELD, 'Exchange rate dynamics under stochastic regime shifts,' Journal of International Economics, January 1991, 31: 203-229 (1991a).
6. FROOT, KENNETH A. AND MAURICE OBSTFELD, 'Stochastic process switching: some simple solutions,' Econometrica, January 1991, 59: 241-250 (1991b).
7. GRABBE, J. ORLIN, International Financial Markets, New York, NY: Elsevier, 1991.
8. GREGORY, ALLAN W. AND GREGOR W. SMITH, 'Calibration as estimation,' Econometric Reviews, 1990, 9: 57-89.
9. HANSEN, LARS P. AND JOSÉ A. SCHEINKMAN, 'Back to the future: generating moment implications for continuous time Markov processes,' Working Paper, University of Chicago, January 1992.
10. INGERSOLL, Jr., JONATHAN E., Theory of Financial Decision Making, Ottowa, NJ: Rowman and Littlefield, 1987.
11. KRASKER, WILLIAM S., 'The Peso problem' in testing the efficiency of forward exchange markets,' Journal of Monetary Economics, 1980, 6: 269-276.
12. KRUGMAN, PAUL R., 'Target zones and exchange rate dynamics,' Quarterly Journal of Economics, August 1991, 106: 669-682.
13. LINDBERG, HANS AND PAUL SÖDERLIND, 'Testing the basic target zone model on Swedish data,' IIES Seminar Paper No. 488, 1991.
14. LINDBERG, HANS AND PAUL SÖDERLIND, 'Target zone models and the intervention policy: the Swedish case,' IIES Seminar Paper No. 496, 1992.
15. ROSE, ANDREW K. AND LARS E. O. SVENSSON, 'Expected and predicted realignments: the FF/DM exchange rate during the EMS,' NBER Working Paper No. 3685, 1991.
16. SMITH, GREGOR W. AND MICHAEL G. SPENCER, 'Estimation and testing in models of exchange rate target zones and process switching,' in P. Krugman and M. Miller, eds, Exchange Rate Targets and Currency Bands, Cambridge: Cambridge University Press, 1992.
17. SVENSSON, LARS E. O., 'Target zones and interest rate variability,' Journal of International Economics, 1991, 31: 27-54.
18. SVENSSON, LARS E. O., 'The foreign exchange risk premium in a target zone with devaluation risk,' Journal of International Economics, 1992, 33: 21-40.