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首页> 外文期刊>Journal of International Money and Finance >Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015
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Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015

机译：2011年9月至2015年1月目标区域制度期间欧元/瑞士法郎汇率的量化模型

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摘要

Krugman (1991)'s target zone model for exchange rate dynamics has become the reference of a large part of this literature. Despite its simplicity and elegance, empirical evidence has been lacking, not least because it is difficult to capture the predicted non-linear relationship between the observable exchange rate and the non-observable fundamental value. This is why we propose a different approach. By inverting locally the relation between exchange rate and fundamental value, we derive analytical expressions for the conditional volatility and the probability density as a function of the exchange rate. This allows us to examine Krugman's prediction directly from historical data, and, furthermore, enables us to test the smooth pasting condition, which is intimately related to the no-arbitrage condition. Concretely, we study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 to January 15, 2015, when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. We show that the data are well explained by the theory and conclude that Krugman's target zone model holds after all, but apparently only under extreme and sustained pressure that pushes continuously the exchange rate very close to the boundary of the target zone. (C) 2016 Elsevier Ltd. All rights reserved.
机译：克鲁格曼（1991）的汇率动态目标区模型已成为该文献很大一部分的参考。尽管它简单而优雅，但仍缺乏经验证据，这主要是因为很难捕获可观察到的汇率与不可观察到的基本价值之间的预测非线性关系。这就是为什么我们提出另一种方法的原因。通过局部反转汇率与基本价值之间的关系，我们得出了条件波动率和概率密度随汇率变化的解析表达式。这使我们能够直接从历史数据中检查克鲁格曼的预测，而且使我们能够测试与无套利条件密切相关的平滑粘贴条件。具体而言，我们研究了在2011年9月6日至2015年1月15日这一特殊时期欧元/瑞士法郎汇率的表现，当时瑞士国家银行强制实施每欧元1.20瑞士法郎的最低汇率。我们表明，该数据已得到理论的充分解释，并得出结论认为，克鲁格曼的目标区域模型毕竟成立，但显然只有在极端且持续的压力下，该压力才能将汇率连续不断推向目标区域的边界。 （C）2016 Elsevier Ltd.保留所有权利。

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