Testing Target-Zone Models Using Efficient Method of Moments
Bibliographic Data
| ID | 19418488 |
|---|---|
| Authors | Chae-Shick Chung (0000-0002-4894-089X, Korea Institute for International Economic Policy), George Tauchen (0000-0003-0518-3611, Duke University) |
| Year | 2001 |
| Volume | 19 |
| Issue | 3 |
| Pages | 255-277 |
| Publication date | 2001-07-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500101681019891 |
| OpenAlex | W2035161318 |
| Language | EN |
| Citations received | 1 |
| References cited | 38 |
The objectives of this article are threefold—(1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong evidence that a model with intramarginal intervention and a narrower implicit (unofficial) band can describe the dynamics of the French franc/Deutsche mark exchange rate from January 1, 1987–July 30, 1993
Econometric model · Econometrics · Economics · Exchange rate · Macroeconomics · Computer Science · Economic Policies and Impacts · Global Financial Crisis and Policies · Monetary Policy and Economic Impact
| Unique citing works | 1 |
|---|---|
| Citations per year | 0.04 |
| Citation span | 2002 - 2002 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |