A quasi-bounded target zone model - Theory and application to Hong Kong dollar
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要This paper proposes a quasi-bounded process for exchange rate dynamics within a target zone, consistent with a credible exchange rate band in which the exchange rate cannot breach the strong-side limit while the weak-side limit is only accessible under restricted conditions of the relationship between the parameters of the drift term and stochastic part of the process. The empirical results suggest that this model can describe the dynamics of the Hong Kong dollar under a target-zone system, where the drifting force is an increasing function of foreign reserves.
著者Lo C.F., Hui C.H., Fong T., Chu S.W.
期刊名稱International Review of Economics and Finance
出版年份2015
月份5
日期1
卷號37
出版社Elsevier BV
出版地Netherlands
頁次1 - 17
國際標準期刊號1059-0560
電子國際標準期刊號1873-8036
語言英式英語
關鍵詞Exchange rate system, Target zone

上次更新時間 2020-28-07 於 01:21