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Autor:innen: 
Erscheinungsjahr: 
1990
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 779
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
The EMS is modeled as imposing dual reflecting barriers on the exchange rate process. This policy leads to a state-dependent conditional variance for exchange rate changes. This variance is always less than that under a pure free float regime. A method of Simulated Moments procedure is employed to estimate the parameters of the model. Simulations with the estimated parameter values show that the model predicts non-normality and non-stationarity in the distribution of exchange rate changes and that these characteristics diminish with aggregation.
Schlagwörter: 
Browian motion
target zones
leptokurtosis
ARCH
Method of Simulated Moments
JEL: 
211
431
Dokumentart: 
Working Paper

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