On the macroeconomic causes of exchange rates volatility
Year of publication: |
2007-03
|
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Authors: | Morana, Claudio |
Institutions: | International Centre for Economic Research (ICER) |
Subject: | exchange rates volatility | macroeconomic volatility | long memory | structural change | fractional cointegration | cobreaking | fractionally integrated factor vector autoregressive model | G-7 area |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 44 pages long |
Classification: | C22 - Time-Series Models ; F31 - Foreign Exchange ; E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
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