金融资产价格传导机制与市场均衡：模型与实证
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摘要
进入二十世纪后期，随着国际汇率制度的改革和各国金融管制的放松，金融市场的分割状况逐步打破，各子市场的价格调整会通过中央银行的公开市场操作和投资者(或投机者)的逐利行为传递到其它子市场，并引起其它资产价格作相应的调整，从而达到市场均衡。这种变革趋势不仅对中央银行实行货币政策的手段和中介目标产生冲击，也对投资者的市场行为产生影响，加强对金融资产价格传导及均衡问题进行比较系统的探讨有重火理论价值和实践意义。
本文主要运用金融学理论和统计方法对三个层次的价格形成关系及影响途径进行研究。第一层次是货币政策实施过程中对以利率和汇率为中心变量的货币价格的影响，重点分析经济开放条件下处于制度转换过程中的市场影响途径及效应；第二层次是利率与汇率之间的相互影响，重点探讨开放条件下市场存在管理差别(或控制手段差异)时的两中心变量的均衡关系；第三层次是利率和汇率及其它信息变化对一般性金融资产价格的影响，试图分析各层价格的传导原理及均衡关系的形成。并对已有价格关系式和结论进行修正和推广。
本文分为四个部分：第一部分(第一章，第二章)分析利率、汇率的传导途径，探讨利率和汇率在货币市场、资本市场、外汇市场的一般价格传导原理及均衡关系的形成，对mundell Fleming model在资本流动冲击下的模型进行了修正，并给出了开放条件下汇率和利率对证券价格(以债券为代表)产生影响的基本模型。第二部分(第三章和第四章)对债券和股票价格传导机制从理论和实证方面作探讨。第三章将债券的价格均衡划分为两大基本类型，建立了债券与短期利率变动的边际方程，运用组合原理分析债券价格变动与其它资产(包括风险证券和无风险证券)的价格均衡关系，通过比较收益原理建立了债券以市场均衡收益为折现参数的价值方程，并通过实证检验了该模型的合理性；第四章，分析了内部信息与价格的传导原理，建立了非完全信息市场条件下价格传递信息的做市商模型和预期模型，并讨论外部信息与内部信息对股票价格影响的非一致性。第三部分(第五章、第六章)分析了利率、汇率与货币期权、远期汇率的均衡关系。第五章讨论了汇率、利率连续变动的状况下的边际方程和并建立了汇率跳跃状况下基于马氏骨架过程的期权价格方程。第六章针对传统利率平价方程过于严格的风险中性、资金供给弹性无限大、
汇率自由浮动等限制条件，建立了风险非中性假设条件下的非抵补平价方程、利率
有限弹性状况下的汇率方程和利率随机波动状况卜的远期利率均衡方程，并研究了
制度转轨时期实行汇率目标区管理条件一下的汇率一利率关系与均衡汇率;第四部
(第七章)结合前六章的理论分析，以提高政策传导效率，疏导价格传导途径为目
标，结合我国金融市场现状及发展趋势从理论和实践两方面探讨资本市场和货币市
场的均衡发展关系，并提出阶段性的建议。
In the late 20th, with the reform of the international exchange rate system and the less control on the financial management, the separation state of the financial market has been broken down gradually. The price adjustment in one subsidiary market will be transferred to the others by the open-market operations of the central bank and the profit-making actions of the investors (or speculators), this will in turn causes certain price adjustment of other assets, and finally the market equilibrium can be achieved. This kind of innovation tendency will show influence not only on the methods and the medium goal of monetary policy of the central bank, but also on the actions of the investors in the market. So more systemic researches on the transferable system of financial asset and market equilibrium will be of great practical and theoretical importance.
This article analyzed the price formation and its influence channel at three levels by financial theory and statistical method. At the first level, the influence of the monetary policy on the price of currency which takes interest rate and exchange rate as its central variables is illustrated, emphases are placed on the influence channel and the impact during the system transmission period under the open-economy conditions; at the second level, the author analyzed the mutual influence between interest rate and exchange rate and placed emphasis on the equilibrium of the above two central variables when the management differentials (or control methods differentials) exists in the market in the open economy; at the third level, through the influence of the changes of interest rate and exchange rate and other information on the price of the general financial assets, the author tried to analyze the transferable system of price at different levels and the formation of equilibrium. At the same time, made amen dements and promotions to the price equation and the conclusions.
This article can be divided into four parts: the first part(chapterl,2) analyzed the transferable channel of interest and exchange rate, the principle of general price transferable system and the formation of equilibrium of transferable system of general price and the formation of equilibrium of them in the money market, capital market and foreign exchange market. The second part (chapters,4) probes transferable system of the security an bond price from theoretical and practical aspects. In chapter3, information is divided into two basic types, the marginal equation of bond price and short-term interest variations is established, thus the security price variations and the price equilibrium of other assets (risk security non-risk security are included) are analyzed by the implement of portfolio Theory. Finally the bond value equation which takes equilibrium return as its
yield Parameter is established through the theory of comparative return. In chapter 4, the intra-information and the transferable system of price is emphasized and the market-maker model and expected model under non-perfect information market conditions are established, and the disaccord of the influence of extra-information and intra-information on the security price is discussed. In the third part (chapter 5,6) is the analysis of the equilibrium of interest rate, exchange rate, foreign exchange option and forward exchange option. In chapter 5. the marginal equation of exchange and interest with continual variations is established, and the exchange option pricing equation based on Markov processions when interest are discontinuous is given. In chapter 6, based on the restrictions of the traditional interest rate parity equation, that is, the too restrict risk neutralization, the infinite elasticity of funds supply and the clean flotation of exchange rate, the exchange rate equation under finite elasticity conditions is established, the author also probes the relations between the exchange rate and interest rate, the equilibrium of exchange rate under target zone management conditions during the system transmission period. The fo
本文主要运用金融学理论和统计方法对三个层次的价格形成关系及影响途径进行研究。第一层次是货币政策实施过程中对以利率和汇率为中心变量的货币价格的影响，重点分析经济开放条件下处于制度转换过程中的市场影响途径及效应；第二层次是利率与汇率之间的相互影响，重点探讨开放条件下市场存在管理差别(或控制手段差异)时的两中心变量的均衡关系；第三层次是利率和汇率及其它信息变化对一般性金融资产价格的影响，试图分析各层价格的传导原理及均衡关系的形成。并对已有价格关系式和结论进行修正和推广。
本文分为四个部分：第一部分(第一章，第二章)分析利率、汇率的传导途径，探讨利率和汇率在货币市场、资本市场、外汇市场的一般价格传导原理及均衡关系的形成，对mundell Fleming model在资本流动冲击下的模型进行了修正，并给出了开放条件下汇率和利率对证券价格(以债券为代表)产生影响的基本模型。第二部分(第三章和第四章)对债券和股票价格传导机制从理论和实证方面作探讨。第三章将债券的价格均衡划分为两大基本类型，建立了债券与短期利率变动的边际方程，运用组合原理分析债券价格变动与其它资产(包括风险证券和无风险证券)的价格均衡关系，通过比较收益原理建立了债券以市场均衡收益为折现参数的价值方程，并通过实证检验了该模型的合理性；第四章，分析了内部信息与价格的传导原理，建立了非完全信息市场条件下价格传递信息的做市商模型和预期模型，并讨论外部信息与内部信息对股票价格影响的非一致性。第三部分(第五章、第六章)分析了利率、汇率与货币期权、远期汇率的均衡关系。第五章讨论了汇率、利率连续变动的状况下的边际方程和并建立了汇率跳跃状况下基于马氏骨架过程的期权价格方程。第六章针对传统利率平价方程过于严格的风险中性、资金供给弹性无限大、
汇率自由浮动等限制条件，建立了风险非中性假设条件下的非抵补平价方程、利率
有限弹性状况下的汇率方程和利率随机波动状况卜的远期利率均衡方程，并研究了
制度转轨时期实行汇率目标区管理条件一下的汇率一利率关系与均衡汇率;第四部
(第七章)结合前六章的理论分析，以提高政策传导效率，疏导价格传导途径为目
标，结合我国金融市场现状及发展趋势从理论和实践两方面探讨资本市场和货币市
场的均衡发展关系，并提出阶段性的建议。
In the late 20th, with the reform of the international exchange rate system and the less control on the financial management, the separation state of the financial market has been broken down gradually. The price adjustment in one subsidiary market will be transferred to the others by the open-market operations of the central bank and the profit-making actions of the investors (or speculators), this will in turn causes certain price adjustment of other assets, and finally the market equilibrium can be achieved. This kind of innovation tendency will show influence not only on the methods and the medium goal of monetary policy of the central bank, but also on the actions of the investors in the market. So more systemic researches on the transferable system of financial asset and market equilibrium will be of great practical and theoretical importance.
This article analyzed the price formation and its influence channel at three levels by financial theory and statistical method. At the first level, the influence of the monetary policy on the price of currency which takes interest rate and exchange rate as its central variables is illustrated, emphases are placed on the influence channel and the impact during the system transmission period under the open-economy conditions; at the second level, the author analyzed the mutual influence between interest rate and exchange rate and placed emphasis on the equilibrium of the above two central variables when the management differentials (or control methods differentials) exists in the market in the open economy; at the third level, through the influence of the changes of interest rate and exchange rate and other information on the price of the general financial assets, the author tried to analyze the transferable system of price at different levels and the formation of equilibrium. At the same time, made amen dements and promotions to the price equation and the conclusions.
This article can be divided into four parts: the first part(chapterl,2) analyzed the transferable channel of interest and exchange rate, the principle of general price transferable system and the formation of equilibrium of transferable system of general price and the formation of equilibrium of them in the money market, capital market and foreign exchange market. The second part (chapters,4) probes transferable system of the security an bond price from theoretical and practical aspects. In chapter3, information is divided into two basic types, the marginal equation of bond price and short-term interest variations is established, thus the security price variations and the price equilibrium of other assets (risk security non-risk security are included) are analyzed by the implement of portfolio Theory. Finally the bond value equation which takes equilibrium return as its
yield Parameter is established through the theory of comparative return. In chapter 4, the intra-information and the transferable system of price is emphasized and the market-maker model and expected model under non-perfect information market conditions are established, and the disaccord of the influence of extra-information and intra-information on the security price is discussed. In the third part (chapter 5,6) is the analysis of the equilibrium of interest rate, exchange rate, foreign exchange option and forward exchange option. In chapter 5. the marginal equation of exchange and interest with continual variations is established, and the exchange option pricing equation based on Markov processions when interest are discontinuous is given. In chapter 6, based on the restrictions of the traditional interest rate parity equation, that is, the too restrict risk neutralization, the infinite elasticity of funds supply and the clean flotation of exchange rate, the exchange rate equation under finite elasticity conditions is established, the author also probes the relations between the exchange rate and interest rate, the equilibrium of exchange rate under target zone management conditions during the system transmission period. The fo
引文
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[83] Almekinders, G. J., S.C.W. Eijflinger. Emprirical Evidence on Foreign Exchange Market Intervention: Where Do we stand?. Welt wirtschaftliches Archiv, 1991(127):176～188
[84] Frankel,J.A., Rose, A. The Endogeneity of the Optimum Currency Area Criteria. NBER Discussion paper, 1996.570～585
[85] Krugman, P R. Equlibrium Exchange Rates. In: Branson. Cambridge: Cambridge university press, 1990.159～180
[86] Krugman P.R. Target Zones and Exchange Rate dynamics. Quarterly Journal of Economics, 1991(8): 669～682
[87] Robert,P.ftood, Anderw, K. Rose. Uncovered Interest parity in crisis. IMF Staff paper. 2001.721～746.
[88] Frederic S. Mislkin.货币金融学[M]．北京：中国人民大学出版社．1998
[89] 金德环，许瑞良．2001中国金融发展报告[M]．上海财经大学出版社，2001
[90] 王松奇．金融学．北京：中国金融出版社，2001
[91] 唐齐鸣．中国货币市场的发展与证券市场规范[J]．经济学动态，2001(1)：40～43
[92] 程思危等．中国货币市场发展学术研讨会．发展摘要[M]．金融时报，2000-08．
[93] 钱小安．疏导货币市场与资本市场联系．理顺西部开发融资机制[J]．重庆金融，2001(10)：8～14
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[96] 王振．金融效率论．北京：经济管理出版社，2000
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[1] 这些手段主要运用在20世纪60年代～70年代初，参加洪虹，中国金融前沿课题研究，中国金融出版社2001年版。
[2] 资料来源：根据2000年《经济参考》的数据整理。
[3] “货币数量论”产生于16、17世纪欧洲“价格革命”时期，其核心是为了解释货币供应量变动与价格总水平变动之间的联系。伴随着货币制度的不断演变，货币形成的不断现代化，形成了许我流派和观点，具体可参阅劳伦斯·哈里斯荐《货币理论》。
[4] 头寸是指在金融资产交易中，机构或个人对某种资产的持有和短缺，持有称为long position，短缺称为short position。
[5] 参见，william F．sharpe等著的《投资学》清华大学出版社1998年版。
[6] 见叶中行、林建忠编著的《数理金融》中国科学出版社1998年版。
[7] 见齐寅峰等泽《投资组合管理理论与应用》机械出版社2000年版
[8] 这里所指的证券属于广义证券，它包括一切有价的可交易的凭证，可以是股票、债券、期权、期货，甚至外汇远期合约等。
[9] 陈野华著《西方货币金融理论的新发展》，四川：西南财经大学出版社，2001．1．18～22
[10] 魏永芬，王志强．我国货币政策资产价格传导的实证研究。财经问题研究，2000，(5)。
[11] 按通常的划分方式：金融市场由货币市场、外汇市场、资本市场及融合于上市场中的期权市场、远期市场。
[12] 表示对外贸的净余额，汇率途径的重要功能是刺激的增长，由带动投资增长和国经收入的增长。
[13] 托宾Q值=公司股票价除以其资本的重置成本。见《货币理论与政策》[美]卡尔·E·瓦什著，中国人民大学出版社
[14] 见姜波克等著《开放经济下的货币市场调控》复旦大学出版社，1999年6月第一版。
[15] 高铁梅等．我国货币政策工具效应的实证分析．《数量经济技术经济研究》，2002年No7．
[16] 货币周转速度按MV=PY计算．M是货币供应量,PY构成国内生产总值．
[17] 图2—1符号↓表示传导或影响途径。
[18] 在开放经济条件下GNP=GDP+NFP，NFP表示从外国取综的净要素收
入。为了分析简便，本部分省略这种差别
[19] 见第三章的讨论
[20] 蒙代尔—弗莱明对国际资金流动采取了流量分析，它的分析前提有：第一，总供给弹性无限大，名义汇率与实际汇率不存在区别；第二，即使在长期，购买力平价也不存在；第三，不存在汇率将发生变动的预期。
[21] 在资本完全流动条件下，i~*表明该国的实际汇率与国外是一致的，或固定在世界利率水平。
[22] 许承昭：外汇储备对韩国无汇率影响的经济分析，《数量经济技术经济研究》，2002年第10期。
[23] Timothy Lant、Steven phillips etc·palicy Devedopment and Review Department "Managing Finacial Crisis: She Experience in East Asia" June 2000, IMF WP/00/107.
[24] 对于一国的国内市场而言，应该包括三种形态的外国资产：外币、以外币计价的债券和股票。在现行的市场运行中，以外币计价的股票所占的比重较小，国际债券市场以外币计价的股权凭证约为债券的十分之一，且股权证券可以看作是收入不固定的期限无限的债券，所以在为了讨论的方便，本节将以外币计价的股权证券纳入债券范畴讨论。
[25] 资产可完全替代是指持有两种货币资产的风险是相同的，不完全替代则承认不同币种的资产具有不同的风险
[26] 从宏观角度来看，引起外国资供应增加的主要项目是国际收支的经常项目盈余和资本项目盈余，如直接投资资金和间接投资资金的内流等
[27] 在定价公式中，P0为债券的理论价值或市场均衡交易价；t为持有人预期的第t期现金收入流；K为投资者所要求的贴现率，或期望收益率。
[28] 债券的有风险与无风险是一组相对概念。这时所指的无风险包括两层含义：债券持有人获取利息本金的时间与数量是约定的；发行人支付能力和兑现的信用是可靠的，不存在拖欠风险和信息风险。如大国发行的财政券可纳入此范围。
[29] Rf是无风险利率，β是该债券的贝塔值，E(R_m)是市场投资组合的期望报酬率
[30] 由于E(R)↑，原来持有风险债券的投资者一般会抛出名义收益率固定的债券，转换成价格有上升趋势的股票等资产，从而引起债券价格下降。
[31] 纳什·塞尔腾、哈塞尼因对“博弈论”在经济和金融应用方面作出的开创性贡献而同时获得1994年的诺贝尔经济学奖，也为非完全信息条件下决策
提供了新的研究思路。
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[33] 这里超均衡需求的含义是指，当市场价格处于非均衡状态时，投资者会选择一种合约组合使自己获得无风险利差，投资者这种组合选择又会引起合同供需的不平衡。
[34] 在金融市场运行理论中，许多学者在金融资产价格服从马氏性这一前提下展开研究，即资产价格(或货币汇率)的概率分布仅取决于资产(或货币)当前价格(或汇率)。
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[36] 该部分借用了罗伯特·C·默顿，1976年发表于《金融经济杂志》“当标的资产价格不连续时的期权定价”和马超群等(1999年提出的“标的资产服从混合过程的期权定价模型”所使用的建模方法。
[37] 这里的收益指一是利率期限结构内的收益，不包括利率的预期变动。
[38] 两种货币资产的充分替代性是指两种货币资产的预期收益是相等的。
[39] Robert P Ftood and Anderw K. Rose. uncovered Interest Parity in Crisis, IMF stalpapers 2001.
[40] 换汇交易是指套利者为了避免外汇市场未锁定交割合约价格沖销套利收益而作的组合交易，通常的方法是外币(卖出本币)现汇时，卖出与套利资金期限结构相同的远期外币收入流。
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[92] 程思危等．中国货币市场发展学术研讨会．发展摘要[M]．金融时报，2000-08．
[93] 钱小安．疏导货币市场与资本市场联系．理顺西部开发融资机制[J]．重庆金融，2001(10)：8～14
[94] 王岗．货币市场、资本市场均衡发展论[J]．云南财贸学院学报，1999(2)
[95] 洪虹．中国金融前沿问题研究．北京：中国金融出版社，2002
[96] 王振．金融效率论．北京：经济管理出版社，2000
[97] 薛万祥．中国货币调控模式与制度设计．上海：上海财经大学出版社，2000
[1] 这些手段主要运用在20世纪60年代～70年代初，参加洪虹，中国金融前沿课题研究，中国金融出版社2001年版。
[2] 资料来源：根据2000年《经济参考》的数据整理。
[3] “货币数量论”产生于16、17世纪欧洲“价格革命”时期，其核心是为了解释货币供应量变动与价格总水平变动之间的联系。伴随着货币制度的不断演变，货币形成的不断现代化，形成了许我流派和观点，具体可参阅劳伦斯·哈里斯荐《货币理论》。
[4] 头寸是指在金融资产交易中，机构或个人对某种资产的持有和短缺，持有称为long position，短缺称为short position。
[5] 参见，william F．sharpe等著的《投资学》清华大学出版社1998年版。
[6] 见叶中行、林建忠编著的《数理金融》中国科学出版社1998年版。
[7] 见齐寅峰等泽《投资组合管理理论与应用》机械出版社2000年版
[8] 这里所指的证券属于广义证券，它包括一切有价的可交易的凭证，可以是股票、债券、期权、期货，甚至外汇远期合约等。
[9] 陈野华著《西方货币金融理论的新发展》，四川：西南财经大学出版社，2001．1．18～22
[10] 魏永芬，王志强．我国货币政策资产价格传导的实证研究。财经问题研究，2000，(5)。
[11] 按通常的划分方式：金融市场由货币市场、外汇市场、资本市场及融合于上市场中的期权市场、远期市场。
[12] 表示对外贸的净余额，汇率途径的重要功能是刺激的增长，由带动投资增长和国经收入的增长。
[13] 托宾Q值=公司股票价除以其资本的重置成本。见《货币理论与政策》[美]卡尔·E·瓦什著，中国人民大学出版社
[14] 见姜波克等著《开放经济下的货币市场调控》复旦大学出版社，1999年6月第一版。
[15] 高铁梅等．我国货币政策工具效应的实证分析．《数量经济技术经济研究》，2002年No7．
[16] 货币周转速度按MV=PY计算．M是货币供应量,PY构成国内生产总值．
[17] 图2—1符号↓表示传导或影响途径。
[18] 在开放经济条件下GNP=GDP+NFP，NFP表示从外国取综的净要素收
入。为了分析简便，本部分省略这种差别
[19] 见第三章的讨论
[20] 蒙代尔—弗莱明对国际资金流动采取了流量分析，它的分析前提有：第一，总供给弹性无限大，名义汇率与实际汇率不存在区别；第二，即使在长期，购买力平价也不存在；第三，不存在汇率将发生变动的预期。
[21] 在资本完全流动条件下，i~*表明该国的实际汇率与国外是一致的，或固定在世界利率水平。
[22] 许承昭：外汇储备对韩国无汇率影响的经济分析，《数量经济技术经济研究》，2002年第10期。
[23] Timothy Lant、Steven phillips etc·palicy Devedopment and Review Department "Managing Finacial Crisis: She Experience in East Asia" June 2000, IMF WP/00/107.
[24] 对于一国的国内市场而言，应该包括三种形态的外国资产：外币、以外币计价的债券和股票。在现行的市场运行中，以外币计价的股票所占的比重较小，国际债券市场以外币计价的股权凭证约为债券的十分之一，且股权证券可以看作是收入不固定的期限无限的债券，所以在为了讨论的方便，本节将以外币计价的股权证券纳入债券范畴讨论。
[25] 资产可完全替代是指持有两种货币资产的风险是相同的，不完全替代则承认不同币种的资产具有不同的风险
[26] 从宏观角度来看，引起外国资供应增加的主要项目是国际收支的经常项目盈余和资本项目盈余，如直接投资资金和间接投资资金的内流等
[27] 在定价公式中，P0为债券的理论价值或市场均衡交易价；t为持有人预期的第t期现金收入流；K为投资者所要求的贴现率，或期望收益率。
[28] 债券的有风险与无风险是一组相对概念。这时所指的无风险包括两层含义：债券持有人获取利息本金的时间与数量是约定的；发行人支付能力和兑现的信用是可靠的，不存在拖欠风险和信息风险。如大国发行的财政券可纳入此范围。
[29] Rf是无风险利率，β是该债券的贝塔值，E(R_m)是市场投资组合的期望报酬率
[30] 由于E(R)↑，原来持有风险债券的投资者一般会抛出名义收益率固定的债券，转换成价格有上升趋势的股票等资产，从而引起债券价格下降。
[31] 纳什·塞尔腾、哈塞尼因对“博弈论”在经济和金融应用方面作出的开创性贡献而同时获得1994年的诺贝尔经济学奖，也为非完全信息条件下决策
提供了新的研究思路。
[32] Radner, R.Rational Expectations Equilibrium Generic Existence and the Information Revealed by Pria, Economcan, 1979.47.
[33] 这里超均衡需求的含义是指，当市场价格处于非均衡状态时，投资者会选择一种合约组合使自己获得无风险利差，投资者这种组合选择又会引起合同供需的不平衡。
[34] 在金融市场运行理论中，许多学者在金融资产价格服从马氏性这一前提下展开研究，即资产价格(或货币汇率)的概率分布仅取决于资产(或货币)当前价格(或汇率)。
[35] Meton.M.C,option pricing when underlying stock Returns Are Discontinuous, Journal of Financial Economics, 1976(3).
[36] 该部分借用了罗伯特·C·默顿，1976年发表于《金融经济杂志》“当标的资产价格不连续时的期权定价”和马超群等(1999年提出的“标的资产服从混合过程的期权定价模型”所使用的建模方法。
[37] 这里的收益指一是利率期限结构内的收益，不包括利率的预期变动。
[38] 两种货币资产的充分替代性是指两种货币资产的预期收益是相等的。
[39] Robert P Ftood and Anderw K. Rose. uncovered Interest Parity in Crisis, IMF stalpapers 2001.
[40] 换汇交易是指套利者为了避免外汇市场未锁定交割合约价格沖销套利收益而作的组合交易，通常的方法是外币(卖出本币)现汇时，卖出与套利资金期限结构相同的远期外币收入流。
[41] Frankel, F.A.and MacArthur A.T.Political Vs Currency Premia in International Real Interest differentials: A study of forward Rates for 24 countries, Europen Economic Reiew,1986.vol32.
[42] Kurgman, P. and Obstfeld, M. International Ecomics: Theory and Policy, 4thed, Addisson-Wesley, New York. 1998,2.272～286.
[43] Krugman,P.R. 1991"Target Zonts and exchange dynamics",Quartely Journal of Economics, 1991,vol 106.
[44] Sevesson.L.E.Taret "the term Structure of Interst Rate Differentials in a Jarget Zone", Journal of Monetary Economices, 1991. Vol28.
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