Exchange rate target zone models: a Bayesian evaluation
用贝叶斯方法估计汇率目标区模型，引入含随机调整风险的同时方程模型，发现1987年巴塞尔-尼堡协议降低了中心平价调整的概率和幅度，但目标区模型在预测上未优于随机游走模型。
This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation target zone model that incorporates stochastic realignment risk. Using FF/DM and IL/DM exchange rate data, we find that the signing of the 1987 Basle–Nyborg Agreement reduces both the magnitude and the likelihood of a central parity realignment, while the lagged exchange rate deviation from its central parity increases them. Furthermore, the interest rate policies and the monetary conditions of the participating countries signal a forthcoming realignment. In general, we are unable to improve upon a simple random walk model in out-of-sample exchange rate prediction by introducing target zone models. Copyright © 1999 John Wiley & Sons, Ltd.