haku: @indexterm DEPRECIATION / yhteensä: 99
viite: 6 / 99
| Tekijä: | Mundaca, G. |
| Otsikko: | Modelling probabilities of devaluations |
| Lehti: | Economica
2004 : FEB, VOL. 71:281, p. 13-37 |
| Asiasana: | Depreciation Devaluation Probability |
| Kieli: | eng |
| Tiivistelmä: | It is shown is this paper, why, when the realized rates of depreciation within the exchange rate band are regressed on a given information set and conditioned on (ex post) actual no realignment (รก la drift adjustment), a "peso problem" is still encountered. The reason is that the frequency of realignments in the data need not be the same as the frequency of the subjective probabilities that a realignment may take place. An alternative approach to solve the peso problem is suggested and consistent estimates are provided. |
SCIMA