TY  - JOUR
AU  - Froot,Kenneth A.
AU  - Obstfeld,Maurice
TI  - Exchange Rate Dynamics Under Stochastic Regime Shifts:  A Unified Approach
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2835
PY  - 1992
Y2  - June 1992
UR  - http://www.nber.org/papers/w2835
L1  - http://www.nber.org/papers/w2835.pdf
N1  - Author contact info:
Kenneth A. Froot
Graduate School of Business
Harvard University
Soldiers Field
Boston, MA 02163
Tel: 617/495-6677
Fax: 617/496-7357
E-Mail: kfroot@hbs.edu

Maurice Obstfeld
Department of Economics
University of California, Berkeley
530 Evans Hall #3880
Berkeley, CA 94720-3880
Tel: 510/643-9646
Fax: 510/642-6615
E-Mail: obstfeld@econ.berkeley.edu
AB  - Techniques of regulated Brownian motion are used to analyze the behavior of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange-rate dynamics in alternative cases where the authorities promise (i) to confine a floating rate within a predetermined range and (ii) to peg the currency once it reaches a predetermined future level. Similarities between these and several related examples of regime switching are stressed
ER  -