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035   $a(NBER)w0626
035   $a(CKB)3240000000027536
035   $a(OCoLC)696337517
035   $a(EXLCZ)993240000000027536
100   $a20230622d1981      fy             0
101 0 $aeng
135   $aurcnu||||||||
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 12$aA Model of Stochastic Process Switching /$fRobert P. Flood, Peter M. Garber
210   $aCambridge, Mass$cNational Bureau of Economic Research$d1981
210  1$a[Washington, D.C.] :$c[Board of Governors of the Federal Reserve System],$d[1982]
215   $a1 online resource$cillustrations (black and white);
225 1 $aNBER working paper series$vno. w0626
300   $aFebruary 1981.
320   $aIncludes bibliographical references (page 15).
330 3 $aIn this paper we develop a rational expectations exchange rate model which is capable of confronting explicitly agents' beliefs about a future switch in exogenous driving processes. In our set-up the agents know with certainty both the initial exogenous process and the new process to be adopted when the switch occurs. However, they do not know with certainty the timing of future switch as it depends on the path followed by the (stochastic) exchange rate. The model is discussed in terms of the British return to pre-war parity, in 1925. However, our results are applicable to a variety of situations where process switching depends on the motion of a key endogenous variable.
410  0$aWorking Paper Series (National Bureau of Economic Research)$vno. w0626.
606   $aForeign exchange$xMathematical models
615  0$aForeign exchange$xMathematical models.
700   $aFlood$b Robert P$0127224
701   $aGarber$b Peter M$0122436
712 02$aNational Bureau of Economic Research.
801  0$bMaCbNBER
801  1$bMaCbNBER
906   $aBOOK
912   $a9910703352503321
996   $aA Model of Stochastic Process Switching$93385045
997   $aUNINA