A univariate analysis of EMS exchange rates using a target zone model
展示了如何估计汇率目标区模型的参数，开发了Krugman(1991)模型的最大似然和模拟矩估计量，并用EMS汇率数据检验发现该模型无法完全解释汇率收益的峰度和条件异方差。
Abstract The models in the literature on exchange‐rate target zones imply a non‐linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments are used to assess the properties of this estimator. In the empirical part we estimate the model with data on recent EMS exchange rates. We find that the Krugman (1991) target zone model is not able to explain the full observed kurtosis and conditional heteroscedasticity of the exchange‐rate returns.