المستودع الأكاديمي جامعة المدينة

Exchange rate dynamics in a target zone: a heterogeneous expectations approach

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dc.creator Bauer, Christian
dc.creator De Grauwe, Paul
dc.creator Reitz, Stefan
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:17Z
dc.date.available 2013-10-16T07:06:17Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19688
dc.identifier ppn:534694829
dc.identifier RePEc:zbw:bubdp1:5864
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19688
dc.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.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,11
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F31
dc.subject F41
dc.subject ddc:330
dc.subject Exchange rate
dc.subject heterogeneous agents
dc.subject target zones
dc.subject Wechselkurs
dc.subject Target Zone
dc.subject Wertpapierhandel
dc.subject Anlageverhalten
dc.subject Agent-based Model
dc.subject Theorie
dc.title Exchange rate dynamics in a target zone: a heterogeneous expectations approach
dc.type doc-type:workingPaper


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