02119oam 22004093a 450 991070335250332120230622022924.0(NBER)w0626(CKB)3240000000027536(OCoLC)696337517(EXLCZ)99324000000002753620230622d1981 fy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierA Model of Stochastic Process Switching /Robert P. Flood, Peter M. GarberCambridge, MassNational Bureau of Economic Research1981[Washington, D.C.] :[Board of Governors of the Federal Reserve System],[1982]1 online resourceillustrations (black and white);NBER working paper seriesno. w0626February 1981.Includes bibliographical references (page 15).In this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted when the switch occurs. However, they do not know with certainty the timing of future switch as it depends on the path followed by the (stochastic) exchange rate. The model is discussed in terms of the British return to pre-war parity, in 1925. However, our results are applicable to a variety of situations where process switching depends on the motion of a key endogenous variable.Working Paper Series (National Bureau of Economic Research)no. w0626.Foreign exchangeMathematical modelsForeign exchangeMathematical models.Flood Robert P127224Garber Peter M122436National Bureau of Economic Research.MaCbNBERMaCbNBERBOOK9910703352503321A Model of Stochastic Process Switching3385045UNINA