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| Title: | Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
|---|---|
| From: |
Christian Bauer ; Paul de Grauwe ; Stefan Reitz
|
| Person: |
Bauer, Christian
1973- Verfasser aut De Grauwe, Paul Reitz, Stefan 1946- 1964- Sonstige |
| Main Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2007
|
| Series: | Discussion paper
Series 1, Economic studies ; 2007,11 |
| Summary: | 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 bandalbeit 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. |
| Physical Description: | 41 S. graph. Darst. |
| ISBN: | 9783865582980 |
Staff View
MARC
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| 245 | 1 | 0 | |a Exchange rate dynamics in a target zone - a heterogeneous expectations approach |c Christian Bauer ; Paul de Grauwe ; Stefan Reitz |
| 264 | 1 | |a Frankfurt am Main |b Dt. Bundesbank |c 2007 | |
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| 490 | 1 | |a Discussion paper / Deutsche Bundesbank : Series 1, Economic studies |v 2007,11 | |
| 520 | |a 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 bandalbeit 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. | ||
| 700 | 1 | |a De Grauwe, Paul |d 1946- |e Sonstige |0 (DE-588)112453759 |4 oth | |
| 700 | 1 | |a Reitz, Stefan |d 1964- |e Sonstige |0 (DE-588)120653052 |4 oth | |
| 810 | 2 | |a Deutsche Bundesbank |t Discussion paper |v Series 1, Economic studies ; 2007,11 |w (DE-604)BV017594637 |9 2007,11 | |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-015689787 | |
Record in the Search Index
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| DE-BY-UBR_location | UB Magazin |
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| id | DE-604.BV022482450 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T12:56:22Z |
| institution | BVB |
| isbn | 9783865582980 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015689787 |
| oclc_num | 642533856 |
| open_access_boolean | |
| owner | DE-12 DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-12 DE-355 DE-BY-UBR DE-188 |
| physical | 41 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1, Economic studies |
| spellingShingle | Bauer, Christian 1973- Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
| title | Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
| title_auth | Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
| title_exact_search | Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
| title_full | Exchange rate dynamics in a target zone - a heterogeneous expectations approach Christian Bauer ; Paul de Grauwe ; Stefan Reitz |
| title_fullStr | Exchange rate dynamics in a target zone - a heterogeneous expectations approach Christian Bauer ; Paul de Grauwe ; Stefan Reitz |
| title_full_unstemmed | Exchange rate dynamics in a target zone - a heterogeneous expectations approach Christian Bauer ; Paul de Grauwe ; Stefan Reitz |
| title_short | Exchange rate dynamics in a target zone - a heterogeneous expectations approach |
| title_sort | exchange rate dynamics in a target zone a heterogeneous expectations approach |
| volume_link | (DE-604)BV017594637 |
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