Modelling Foreign Exchange Interventions under Rayleigh Process: Applications to Swiss Franc Exchange Rate Dynamics
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DOI: 10.3390/e24070888
Abstract: This paper models the foreign exchange intervention policy following the Rayleigh process derived from the standard flexible-price monetary framework. The exchange rate dynamics associated with the interventions are more sensitive to the change in the… read more here.
Keywords: exchange rate; rate dynamics; swiss franc; exchange ... See more keywords