STOCHASTIC DEVALUATION RISK AND THE EMPIRICAL FIT OF TARGET-ZONE MODELS

被引：114

作者：

BERTOLA, G

SVENSSON, LEO

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

[2] CTR ECON POLICY RES,LONDON,ENGLAND

来源：

REVIEW OF ECONOMIC STUDIES | 1993年 / 60卷 / 03期

关键词：

D O I：

10.2307/2298131

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A time-varying stochastic devaluation risk is introduced in a model of exchange rate target zones. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, which previous target zone models have been unable to do. A ''drift adjustment'' method to estimate devaluation expectations from data is suggested.

引用

页码：689 / 712

页数：24

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