| dc.creator |
Bauer, Christian |
|
| dc.creator |
De Grauwe, Paul |
|
| dc.creator |
Reitz, Stefan |
|
| dc.date |
2007 |
|
| dc.date.accessioned |
2013-10-16T07:06:17Z |
|
| dc.date.available |
2013-10-16T07:06:17Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/19688 |
|
| dc.identifier |
ppn:534694829 |
|
| dc.identifier |
RePEc:zbw:bubdp1:5864 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/19688 |
|
| dc.description |
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 band albeit 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. |
|
| dc.language |
eng |
|
| dc.relation |
Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,11 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
F31 |
|
| dc.subject |
F41 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Exchange rate |
|
| dc.subject |
heterogeneous agents |
|
| dc.subject |
target zones |
|
| dc.subject |
Wechselkurs |
|
| dc.subject |
Target Zone |
|
| dc.subject |
Wertpapierhandel |
|
| dc.subject |
Anlageverhalten |
|
| dc.subject |
Agent-based Model |
|
| dc.subject |
Theorie |
|
| dc.title |
Exchange rate dynamics in a target zone: a heterogeneous expectations approach |
|
| dc.type |
doc-type:workingPaper |
|