The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk

The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk
Author: Lars E. O. Svensson
Publisher:
Total Pages: 40
Release: 1991
Genre: Foreign exchange
ISBN:


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The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk
Language: en
Pages: 40
Authors: Lars E. O. Svensson
Categories: Foreign exchange
Type: BOOK - Published: 1991 - Publisher:

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Target Zones and Interest Rate Variability
Language: en
Pages: 52
Authors: Mr.Lars E. O. Svensson
Categories: Business & Economics
Type: BOOK - Published: 1990-04-01 - Publisher: International Monetary Fund

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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 z
Target Zones and Exchange Rates
Language: en
Pages: 68
Authors: Geert Bekaert
Categories: Foreign exchange administration
Type: BOOK - Published: 1996 - Publisher:

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In this paper we develop an empirical model of exchange rates in a target zone. The model is general enough to nest most theoretical and empirical models in the
The Simplest Test of Target Zone Credibility
Language: en
Pages: 40
Authors: Lars E. O. Svensson
Categories: Business & Economics
Type: BOOK - Published: 1990-11 - Publisher: International Monetary Fund

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Under the assumption of no arbitrage exchange rate target zone credibility is tested by whether domestic interest rates fall within “rate-of-return bands” b
Assessing Target Zone Credibility
Language: en
Pages: 35
Authors: Mr.Lars E. O. Svensson
Categories: Business & Economics
Type: BOOK - Published: 1991-10-01 - Publisher: International Monetary Fund

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The paper presents estimates of devaluation expectations for six EMS currencies relative to the Deutsche mark, for the period March 1979-May 1990. The estimatio