A model for exchange rates with crawling bands—an application to the Colombian peso

Brooks, Chris; Reveíz, Alejandro

doi:10.1016/s0148-6195(02)00103-0

Cited by 28 publications

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“…In some of the latter, the zone has been a "crawling band" whose centre has been adjusted daily in mini-steps that have been known to the agents in advance. As an example, see Brooks and Revéiz (2002) for a description of such a crawling band for the Colombian peso. For more information, see Darvas (1998).…”

Section: Introductionmentioning

confidence: 99%

A time series model for an exchange rate in a target zone with applications

Lundbergh

Teräsvirta

2006

Journal of Econometrics

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In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it exists. A modelling cycle consisting of specification, estimation, and evaluation stages is constructed. The model is fitted to series of daily observations of the Swedish and the Norwegian currency indices and the estimated models are evaluated.

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Section: Introductionmentioning

confidence: 99%

A time series model for an exchange rate in a target zone with applications

Lundbergh

Teräsvirta

2006

Journal of Econometrics

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Stochastic Unit Root Models

Gouriéroux

Robert

2006

Econ. Theory

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This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined+ More precisely, we assume that the process is recursively defined by Y t ϭ m ϩ Y tϪ1 ϩ « t , with stochastic probability p rw~YtϪ1 !, Y t ϭ m ϩ « t , with stochastic probability 1 Ϫ p rw~YtϪ1 !, where~« t ! is a strong white noise and p rw is a nondecreasing function+ Then, the dynamics of the process Y t !, its marginal distribution, and the distribution of the time spent in the unit root regime depend on the pattern of random walk intensity p rw and on the noise distribution F+ Moreover, we study the links between the endogeneous switching regime and the degree of persistence of the process~Y t !+

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Modelling Nonlinear Economic Time Series

Teräsvirta

Tjøstheim

Granger³

2010

251

156

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This book contains a up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows these models can be applied in practice. For this purpose, the building of various nonlinear models with its three stages of model building: specification, estimation, and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried out using numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones. Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter is devoted to state space models.

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A model for exchange rates with crawling bands—an application to the Colombian peso

Cited by 28 publications

References 20 publications

A time series model for an exchange rate in a target zone with applications

A time series model for an exchange rate in a target zone with applications

Stochastic Unit Root Models

Modelling Nonlinear Economic Time Series

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