Soft exchange rate bands and speculative attacks: theory, and evidence from the ERM since August 1993

• 成果类型: Article
• 署名作者: Bartolini, L; Prati, A
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(98)00053-1
• 发表日期: 1999
• 页码: 1-29
• 关键词: exchange rate target zones; Speculative attacks

摘要

We present a model of a soft exchange rate target zone and interpret it as a stylized description of the post-august 1993 ERM. Our central bank targets a moving average of the current and past exchange rates, rather than the exchange rate's current level, thus allowing the rate to move within wide margins in the short run, but within narrow margins in the long run. For realistic parameters, soft target zones are significantly less vulnerable to speculative attacks than hard target zones. These predictions are consistent with the ERM's experience and the abatement of speculative pressure in European markets since the bands' widening in 1993. (C) 1999 Elsevier Science B.V. All rights reserved.