An algorithmic approach to exchange rate stabilization

被引：4

作者：

Athanasiou, George ^{[1
]}

Kotsios, Stelios ^{[1
]}

机构：

[1] Univ Athens, Dept Econ, Athens 10559, Greece

来源：

ECONOMIC MODELLING | 2008年 / 25卷 / 06期

关键词：

Central bank interventions; Exchange rate dynamics; Non-linear feedback control;

D O I：

10.1016/j.econmod.2008.04.001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we explore the effect of central bank interventions on the behavior of the exchange rate. In particular, we present two control algorithms, namely the 'Target Zone' and the 'Target Value', and we test their effectiveness in stabilizing the exchange rate. To this purpose. we use a chartist-fundamentalist model and we find that both algorithms reduce exchange rate variability significantly even in the presence of policy lags and dynamic noise. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：1246 / 1260

页数：15

共 21 条

[1] Mitigation of the Lucas critique with stochastic control methods [J].