A time series model for an exchange rate in a target zone with applications

Stefan Lundbergh () and Timo Teräsvirta
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Stefan Lundbergh: Skandia Life Insurance Company Ltd, Postal: SE-103 50 Stockholm, Sweden

No 533, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

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: Autoregressive conditional heteroskedasticity; exchange rate dynamics; nonlinear modelling; smooth transition autoregression (search for similar items in EconPapers)
JEL-codes: C22 C52 F31 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2003-09-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Journal of Econometrics, 2006, pages 579-609.

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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 (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0533

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