A Time Series Model for an Exchange Rate in a Target Zone with Applications

Timo Teräsvirta

No 340, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it exists. A modelling cycle consisting of specification, estimation, and evaluation stages is constructed. The model is fitted to series of daily observations of the Swedish and Norwegian currency indices and the estimated models are evaluated

Keywords: target zone model; cycles (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-fin and nep-ifn
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Related works:
Journal Article: A time series model for an exchange rate in a target zone with applications (2006)
Working Paper: A time series model for an exchange rate in a target zone with applications (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:340

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