This paper examines the relationship between the conditional volatility of target zone exchange rates and realignments of the system. To investigate this question, modified jump diffusion Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and absolute value GARCH models are fit to...

This paper presents a general model of the determination of the interest rate and the exchange rate which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. The emperical results show that in the Korean...

In light of research questioning the usefulness of economists' models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for Deutschmark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) "restricted cointegration" test, the...

An introduction to a new exchange-rate index to measure the foreign-exchange value of the dollar. The authors develop a model of U.S. merchandise trade, featuring the new index.

For more than a decade the Federal Reserve Bank of Atlanta's trade-weighted dollar index has served as a summary statistic for foreign exchange movements of the dollar. Recent revisions acknowledging significant changes in the worldwide economy ensure that the index will continue to contribute...