The Library
Exchange rate monitoring bands: theory and policy
Tools
Corrado, Luisa, Miller, Marcus and Zhang, Lei (2002) Exchange rate monitoring bands: theory and policy. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.333).
|
PDF
WRAP_Miller_CEPR-DP3337[1].pdf - Requires a PDF viewer. Download (1017Kb) |
Official URL: http://www.cepr.org/pubs/new-dps/dplist.asp?dpno=3...
Abstract
Recent empirical research by Mark Taylor and co-authors has found evidence of hybrid dynamics for real exchange rates. While there is a random walk near equilibrium, for real exchange rates some distance from equilibrium there is mean-reversion which increases with the degree of misalignment. An interesting question is whether this non-linear mean-reversion might be policy-induced. John Williamson (1998), for example, has proposed a ‘monitoring band’ in which there is no intervention near equilibrium but there is substantial intervention triggered by exchange rate deviations outside a preset band. In this Paper we develop a theoretical model of such a monitoring band to see whether it can generate patterns of non-linear mean-reversion akin to those reported in empirical research.
Item Type: | Working or Discussion Paper (Discussion Paper) | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Random walks (Mathematics), Foreign exchange -- Mathematical models, Nonlinear theories, Equilibrium (Economics) | ||||
Series Name: | Discussion paper (Centre for Economic Policy Research (Great Britain)) | ||||
Publisher: | Centre for Economic Policy Research (Great Britain) | ||||
Place of Publication: | London | ||||
Official Date: | April 2002 | ||||
Dates: |
|
||||
Number: | No.333 | ||||
Number of Pages: | 37 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Funder: | University of Warwick |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year