TY  - BOOK
AU  - Chen,Zhaohui
AU  - Giovannini,Alberto
ED  - National Bureau of Economic Research.
TI  - Estimating Expected Exchange Rates Under Target Zones
T2  - NBER working paper series
PY  - 1992///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - January 1992; Hardcopy version available to institutional subscribers
N2  - This paper develops a simple econometric procedure for estimating expected exchange rate under target zones. We employ the linear projection methodology to make predictions without relying on any prior structural or distributional assumptions, and at the same time demonstrate that such a methodology has to be modified in an important way to account for the presence of the fluctuation band. Our empirical results show that the band effect is nontrivial for narrow target zones such as the Bretton Woods system. We also develop a method to estimate the shapes of the unconditional distributions of exchange rates under target zones. The empirical results show that the unconditional distributions of exchange rates can take several different shapes, which may correspond to possibly widely different monetary and exchange-rate intervention policies. We also show how to use the projection equations and the information about the band to test the credibility of the exchange rate regimes
UR  - https://www.nber.org/papers/w3955
UR  - http://dx.doi.org/10.3386/w3955
ER  -