Long swings in exchange rates: a stochastic control approach
نویسندگان
چکیده
منابع مشابه
Long Swings in Exchange Rates: Are They Really in the Data?
The random walk is often used to model exchange rates. According to the Lucas critique, however, policy shifts may lead to breaks in the trend of exchange rates and hence to long swings. We use a Markov regime-switching model to allow for such swings and we reject the random walk in favor of the regime-switching model. Earlier papers report this result too, but the authors are concerned about t...
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ژورنال
عنوان ژورنال: International Transactions in Operational Research
سال: 2007
ISSN: 0969-6016,1475-3995
DOI: 10.1111/j.1475-3995.2007.00608.x