Publications [#238977] of George E. Tauchen

Journal Articles

1. Chung, CS; Tauchen, G, Testing target-zone models using efficient method of moments, Journal of Business & Economic Statistics, vol. 19 no. 3 (January, 2001), pp. 255-277, Informa UK Limited (2000 Invited Address of the Journal of Business and Economic Statistics, delivered at the Annual Meeting of the Amercian Statistical Association.) [doi]
   (last updated on 2024/01/01)

   Abstract:
   The objectives of this article are threefold - (1) to test target-zone models using more efficient and direct econometric methodology than previous research, (2) to identity an implicit hand, if it exists, from observed data and to test target-zone models based on the estimated implicit hand rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong evidence that a model with intramarginal intervention and a narrower implicit (unofficial) hand can describe the dynamics of the French franc/Deutsche mark exchange rate from January 1, 1987-July 30, 1993.