Caporale, Guglielmo Maria; Cipollini, Andrea; … - Department of Economics, Leicester University - 2000
VECM for four Asian countries, and improve upon existing studies in two important ways. First, by using a long data span we … are able to compare the effects of an interest rate rise on the nominal exchange rate during tranquil and turbulent … periods. Second, we take into account the endogeneity of interest rates and identify the system by exploiting the …