The paper presents a new and comprehensive data set of all bonds issued by the sixteen German federal states (Länder) since 1992. It thus provides a complete picture of a capital market comparable in size to the combined corporate bond and commercial paper market in Germany. The quantitative...

This paper reviews some of the policy considerations behind modern target zone theory, pre-EMU. Topics covered include: domestic output boosting and switching; insulation and transmission of macroeconomic shocks; relationship with other exchange rate regimes; optimal currency areas; quot;rules...

This paper examines the behaviour of foreign exchange reserves, when a government defends an exchange rate target zone using Minimal Marginal Intervention. Reserve depletion defending a single exchange rate barrier is first modelled as the maximum or minimum value of the path of an unregulated...

This paper provides a short introduction to the topic of target zone exchange rate option pricing. Models covered include: Black-Scholes equation with derivation, European Call on a stock option, Garman-Kohlhagen model for an option on a free-floating exchange rate, Dumas Jennergren and Naslund...

This paper reviews and extends Dumas and Svensson's iconic 1994 model of the life expectancy of a unilateral target zone. Firstly, the underlying assumptions are examined and effects of real world phenomena such as bid-ask spreads considered. Secondly the data parameterization of their model is...

This paper surveys methods and models used in the target zone literature. The following areas are covered: rationale for stochastic modelling; Ito's Lemma and stochastic differential equations; the basic target zone model; the flexible price monetary model; simple real exchange rate zones;...

This paper uses a discrete simple random walk model to analyse the predicted behaviour of an exchange rate between formal or informal barriers. Various phenomena are examined including quot;secular attacksquot;, where the exchange rate appears to be attracted to and bounce repeatedly against a...

This paper studies the equilibrium term structure of nominal and real interest rates and the time-varying bond risk premia implied by a stochastic endogenous growth model with imperfect price adjustment and monetary policy shocks. The production and price-setting decisions of firms drive...