Target zone dynamics where the fundamental follows a SDE with periodic forcing

LAUR Repository

Show simple item record

dc.contributor.author Dibeh, Ghassan
dc.date.accessioned 2016-05-17T10:35:15Z
dc.date.available 2016-05-17T10:35:15Z
dc.date.copyright 2006 en_US
dc.date.issued 2016-05-17
dc.identifier.issn 0378-4371 en_US
dc.identifier.uri http://hdl.handle.net/10725/3824 en_US
dc.description.abstract This paper investigates exchange rate and reserves dynamics in a target zone where the fundamental follows a stochastic differential equation with a periodic forcing function. Solutions to the model show that the target zone plays a stabilizing role but the dynamics of the exchange rate follow a family of S-shaped functions as time evolves. This dynamics cause the width of the target zone to be a varying function of time. It becomes what we can call a flexible target zone. The monetary authorities are then forced to hold not only large reserves but also varying reserves in order to properly defend the target zone. en_US
dc.language.iso en en_US
dc.title Target zone dynamics where the fundamental follows a SDE with periodic forcing en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.idnumber 199490150 en_US
dc.author.department Department of Economics (ECON) en_US
dc.description.embargo N/A en_US
dc.relation.journal Physica A: Statistical Mechanics and its Applications en_US
dc.journal.volume 363 en_US
dc.journal.issue 2 en_US
dc.article.pages 437-445 en_US
dc.keywords Speculative attacks en_US
dc.keywords Target zones en_US
dc.keywords Econophysics en_US
dc.identifier.doi http://dx.doi.org/10.1016/j.physa.2005.08.013 en_US
dc.identifier.ctation Dibeh, G. (2006). Target zone dynamics where the fundamental follows a SDE with periodic forcing. Physica A: Statistical Mechanics and its Applications, 363(2), 437-445. en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S0378437105008459 en_US

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search LAUR

Advanced Search


My Account