Exchange Rate Bands with Point Process Fundamentals

This note derives closed form solutions for exchange rates in terms of fundamentals within a fully credible band exchange rate regime when the fundamentals are driven by Brownian motion and multiple point processes. The inclusion of point processes allows one to relax quite substantially the distributional assumptions about exchange rates implicit in models based on Brownian motions alone, and should therefore prove of use in empirical applications. Models with discontinuous driving processes also differ from the Brownian motion model in that monetary authorities will be obliged periodically to intervene on a large scale in discrete amounts.
Publication date: November 1990
ISBN: 9781451946345
$15.00
Add to Cart by clicking price of the language and format you'd like to purchase
Available Languages and Formats
English
Prices in red indicate formats that are not yet available but are forthcoming.
Topics covered in this book

This title contains information about the following subjects. Click on a subject if you would like to see other titles with the same subjects.

Money and Monetary Policy , exchange rate , point processes , poisson processes , exchange rates , point process

Summary