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VARIABLE PROBABILITY OF REALIGNMENT IN A TARGET ZONE

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UNSPECIFIED (1994) VARIABLE PROBABILITY OF REALIGNMENT IN A TARGET ZONE. SCANDINAVIAN JOURNAL OF ECONOMICS, 96 (1). pp. 1-14.

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Abstract

The target zone model presented here encompasses a realignment probability which increases as the fundamental deviates from the centre of the zone. The analysis is carried out for cases where the fundamental follows either a Brownian motion or an Ornstein-Uhlenbeck process. The simplest version of the model yields tractable results, which prove to be robust when its most restrictive assumption is relaxed. The solution obtained is dubbed the steeper S, in accordance with its most relevant feature.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Journal or Publication Title: SCANDINAVIAN JOURNAL OF ECONOMICS
Publisher: BLACKWELL PUBL LTD
ISSN: 0347-0520
Official Date: 1994
Dates:
DateEvent
1994UNSPECIFIED
Volume: 96
Number: 1
Number of Pages: 14
Page Range: pp. 1-14
Publication Status: Published

Data sourced from Thomson Reuters' Web of Knowledge

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