SSE/EFI Working Paper Series in Economics and Finance
No 533:
A time series model for an exchange rate in a target zone with applications
Stefan Lundbergh ()
and Timo Teräsvirta ()
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; (follow links to similar papers)
JEL-Codes: C22; C52; F31; (follow links to similar papers)
37 pages, September 3, 2003
Download Statistics
- This paper is published as:
-
Lundbergh, Stefan and Timo Teräsvirta, (2006), 'A time series model for an exchange rate in a target zone with applications', Journal of Econometrics, Vol. 131, pages 579-609
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
