May 27, 2003 Timo Teräsvirta presents a paper: A time series model for an exchange rate in a target zone with applications

May 27, 2003 Timo Teräsvirta (Stockholm School of Economics) A time series model for an exchange rate in a target zone with applications

Abstract

May 27, 2003

Timo Teräsvirta (Stockholm School of Economics)

A time series model for an exchange rate in a target zone with applications

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 the Norwegian currency indices and the estimated models are evaluated.

Vissza a tetejére

The primary objective of the MNB shall be to achieve and maintain price stability. (...) Without prejudice to its primary objective, the MNB shall support the maintenance of the stability of the system of financial intermediation, the enhancement of its resilience, its sustainable contribution to economic growth; furthermore, the MNB shall support the government’s economic policy and its policy related to environmental sustainability, using instruments at its disposal.