Analysis of Exchange-Rate Target Zones Using a Limited-Dependent Rational-Expectations Model With Jumps
研究目标区制度下汇率决定，考虑边界偶尔跳跃的影响，并用法郎/马克汇率数据验证了带时变重组概率的非线性模型，发现代理人对中心平价的多数变化有正确预期。
This article examines the exchange-rate determination in a target-zone regime when the bounds can be fixed for an extended period but are subject to occasional jumps. In this case, the behavior of the endogenous variable is affected by the agents' expectations about both the occurrence and the size of the jump. Empirical results using data for the franc/mark exchange rate provide support for the nonlinear model with time-varying realignment probability and indicate that the agents correctly anticipated most of the observed changes in the central parity.