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Target zone exchange rate

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
35
Issue
1
Identifiers
DOI: 10.1016/0165-1765(91)90106-u

Abstract

Abstract This paper attempts to rationalize the target zone exchange rate system's width proposed by Williamson (1983). The model is a special case of the Exponentially Weighted Moving Average (EWMA) function. Given the time series distribution, estimated means and variances are plotted on a bounded (upper and lower) standard normal distribution.

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