Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19688| Title: | Exchange rate dynamics in a target zone: a heterogeneous expectations approach |
| Keywords: | F31 F41 ddc:330 Exchange rate heterogeneous agents target zones Wechselkurs Target Zone Wertpapierhandel Anlageverhalten Agent-based Model Theorie |
| Issue Date: | 16-Oct-2013 |
| Description: | We present a simple behavioral model with chartists and fundamentalists and analyze their trading behavior in a floating regime and in a target zone regime. Regarding the floating regime the model replicates the well-known stylized facts like excessive volatility, fat tails, volatility clustering and the exchange rate disconnect. When introducing a credible target zone the exchange rate remains for a considerably long period in the center of the band albeit the fundamental exchange rate does not exhibit mean reversion tendencies. The resulting hump-shaped distribution of the exchange rate greatly reduces the frequency of central bank intervention. The introduction of a target zone regime significantly reduces exchange rate volatility by decreasing speculative activity in the FX market. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19688 |
| Other Identifiers: | http://hdl.handle.net/10419/19688 ppn:534694829 RePEc:zbw:bubdp1:5864 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.