Testing target-zone models using efficient method of moments

Published

Journal Article

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 identity an implicit hand, if it exists, from observed data and to test target-zone models based on the estimated implicit hand 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) hand can describe the dynamics of the French franc/Deutsche mark exchange rate from January 1, 1987-July 30, 1993.

Full Text

Duke Authors

Cited Authors

  • Chung, CS; Tauchen, G

Published Date

  • July 1, 2001

Published In

Volume / Issue

  • 19 / 3

Start / End Page

  • 255 - 269

International Standard Serial Number (ISSN)

  • 0735-0015

Digital Object Identifier (DOI)

  • 10.1198/073500101681019891

Citation Source

  • Scopus