EconPapers    
Economics at your fingertips  
 

A quasi-bounded target zone model — Theory and application to Hong Kong dollar

C.F. Lo, C.H. Hui, Tom Fong () and S.W. Chu

International Review of Economics & Finance, 2015, vol. 37, issue C, 1-17

Abstract: This paper proposes a quasi-bounded process for exchange rate dynamics within a target zone, consistent with a credible exchange rate band in which the exchange rate cannot breach the strong-side limit while the weak-side limit is only accessible under restricted conditions of the relationship between the parameters of the drift term and stochastic part of the process. The empirical results suggest that this model can describe the dynamics of the Hong Kong dollar under a target-zone system, where the drifting force is an increasing function of foreign reserves.

Keywords: Target zone; Exchange rate system (search for similar items in EconPapers)
JEL-codes: F31 G13 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056014001725
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:37:y:2015:i:c:p:1-17

DOI: 10.1016/j.iref.2014.10.010

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-07-14
Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:1-17