Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models

S-Tier
Journal: Review of Economic Studies
Year: 1993
Volume: 60
Issue: 3
Pages: 689-712

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

A time-varying stochastic devaluation risk is introduced in a model of exchange rate target zones. The model produces realistic patterns of covariation between exchange rates and interest rate differentials, which previous target zone models have been unable to do. A "drift adjustment" method to estimate devaluation expectations from data is suggested.

Technical Details

RePEc Handle
repec:oup:restud:v:60:y:1993:i:3:p:689-712.
Journal Field
General
Author Count
2
Added to Database
2026-01-24