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摘要翻译：
我们建立了一个具有有限退出时间和非高斯尾的汇率目标区模型。我们展示了尾巴是投资者风险厌恶时变的结果，它在基本分布中产生了保持均值的利差。我们显式地求解了平稳和非平稳汇率路径，并说明了两者如何连续地依赖于到退出时间和目标区域带的距离。这使我们能够展示央行干预是如何内生于基本面与区间的距离和潜在风险。我们讨论了目标区的可行性如何由设定的水平和潜在风险的程度来形成，并确定了达到所需奇偶性的最小时间。我们证明，风险的增加超过一定的阈值后，会产生内生机制的转移，其中“蜜月效应”消失，目标区无法可行地维持。这些结果都不能用标准的高斯或仿射模型得到。数值模拟使我们能够恢复在目标区文献中建立的所有汇率密度。
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英文标题：
《Can one hear the shape of a target zone?》
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作者：
Jean-Louis Arcand, Max-Olivier Hongler, Shekhar Hari Kumar, Daniele
Rinaldo
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve explicitly for stationary and non-stationary exchange rate paths, and show how both depend continuously on the distance to the exit time and the target zone bands. This enables us to show how central bank intervention is endogenous to both the distance of the fundamental to the band and the underlying risk. We discuss how the feasibility of the target zone is shaped by the set horizon and the degree of underlying risk, and we determine a minimum time at which the required parity can be reached. We prove that increases in risk after a certain threshold can yield endogenous regime shifts where the "honeymoon effects" vanish and the target zone cannot be feasibly maintained. None of these results can be obtained by means of the standard Gaussian or affine models. Numerical simulations allow us to recover all the exchange rate densities established in the target zone literature.
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PDF链接：
https://arxiv.org/pdf/2002.00948
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