Decomposing Exchange Rate Volatility Around the Pacific Rim

Volatility in exchange rates is decomposed into components associated with domestic and international concerns for six Pacific Rim currencies. A latent factor model is used to model bilateral exchange rate changes as the weighted sum of three factors; two factors are uniquely associated with each of the currencies involved in the exchange rates and the other represents world shocks common to all exchange rates.

MoreLess

Year of publication:	1999
Authors:	Dungey, Mardi H
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Exchange Rate \| Volatility \| Economics

More details

Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1999.12 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010541717