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題名 Volatility Trade-offs in Exchange Rate Target Zones
作者 Ching-chong Lai;方中柔;Juin-jen Chang
Fang,Chung-rou;Lai,Ching-chong ;Chang,Juin-jen
關鍵詞 Exchange rate target zones;Stochastic processes;Volatility trade-offs;Imperfect capital mobility
日期 2006-01
上傳時間 9-一月-2009 12:15:55 (UTC+8)
摘要 The volatility trade-offs (i.e. the negative relationships between exchange rate variability and the interest rate differential) exhibited in the Krugman [Krugman, P. (1991). Target zones and exchange rate dynamics. Quarterly Journal of Economics, 106, 669–682.] model depend on the assumption of uncovered interest rate parity (UIP). However, the bands for several economies in Latin America and Eastern Europe are substantially different from those within the European Monetary System (EMS), in that their parity relationship deviates from UIP and volatility trade-offs do not exist. This paper develops a graphical exposition and uses it to show that the degree of capital mobility may serve as a plausible vehicle to explain the empirical evidence found in Krugman`s regime of exchange rate target zones. Based on a Fleming-type stochastic macro model, we find that when capital mobility is relatively low, exchange rate variability exhibits a positive relationship with the interest rate differential. This result can be regarded as a possible way of resolving the conflicting outcomes between Krugman`s prediction and existing empirical observations.
關聯 International Review of Economics and Finance,17(3),366-379
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2006.10.004
dc.creator (作者) Ching-chong Lai;方中柔;Juin-jen Changen_US
dc.creator (作者) Fang,Chung-rou;Lai,Ching-chong ;Chang,Juin-jen-
dc.date (日期) 2006-01en_US
dc.date.accessioned 9-一月-2009 12:15:55 (UTC+8)-
dc.date.available 9-一月-2009 12:15:55 (UTC+8)-
dc.date.issued (上傳時間) 9-一月-2009 12:15:55 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/23261-
dc.description.abstract (摘要) The volatility trade-offs (i.e. the negative relationships between exchange rate variability and the interest rate differential) exhibited in the Krugman [Krugman, P. (1991). Target zones and exchange rate dynamics. Quarterly Journal of Economics, 106, 669–682.] model depend on the assumption of uncovered interest rate parity (UIP). However, the bands for several economies in Latin America and Eastern Europe are substantially different from those within the European Monetary System (EMS), in that their parity relationship deviates from UIP and volatility trade-offs do not exist. This paper develops a graphical exposition and uses it to show that the degree of capital mobility may serve as a plausible vehicle to explain the empirical evidence found in Krugman`s regime of exchange rate target zones. Based on a Fleming-type stochastic macro model, we find that when capital mobility is relatively low, exchange rate variability exhibits a positive relationship with the interest rate differential. This result can be regarded as a possible way of resolving the conflicting outcomes between Krugman`s prediction and existing empirical observations.-
dc.format application/en_US
dc.language enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) International Review of Economics and Finance,17(3),366-379en_US
dc.subject (關鍵詞) Exchange rate target zones;Stochastic processes;Volatility trade-offs;Imperfect capital mobility-
dc.title (題名) Volatility Trade-offs in Exchange Rate Target Zonesen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.iref.2006.10.004en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.iref.2006.10.004en_US