Target Zones And Interest Rate Variability
Download and Read Target Zones And Interest Rate Variability full books in PDF, ePUB, and Kindle. Read online free Target Zones And Interest Rate Variability ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Target Zones and Interest Rate Variability
Author | : Mr.Lars E. O. Svensson |
Publisher | : International Monetary Fund |
Total Pages | : 52 |
Release | : 1990-04-01 |
Genre | : Business & Economics |
ISBN | : 1451979991 |
Download Target Zones and Interest Rate Variability Book in PDF, Epub and Kindle
The trade-off between interest rate variability and the width of an exchange rate target zone is examined, using the regulated Brownian motion model of target zones. The interest rate differential’s asymptotic (unconditional) variability is increasing in the exchange rate band for narrow bands; whereas it is slowly decreasing for wide bands. The interest rate differential’s instantaneous (conditional) variability is decreasing in the exchange rate band. The model is extended to include a realignment/devaluation risk, as well as an endogenous exchange rate risk premium. The risk premium is small for reasonable parameter values.
Target Zones and Interest Rate Variability Related Books
Pages: 52
Pages: 34
Pages:
Pages: 20
Pages: 40