Asymmetric Dynamics in Exchange Rate Correlations : Price Stability or Export Competitiveness?

Introducing an asymmetric DCC model for examining exchange rate correlations, and applying it to the Australian and Kiwi dollars, we show that the two currencies are more correlated during appreciations than during depreciations, consistent with the policy objective of Reserve Bank of New Zealand

MoreLess

Year of publication:	[2007]
Authors:	Li, Xiaoming
Other Persons:	Zhao, Xuewen (contributor)
Publisher:	[2007]: [S.l.] : SSRN

More details
Report error

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2006 erstellt
Other identifiers:	10.2139/ssrn.960934 [DOI]
Classification:	F31 - Foreign Exchange ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012731020